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I am asked to solve the marking to market value(MtM) of a swap, unfortunely i´m having big troubles finding the solution, it´s a 5.5% (vs. LIBOR) 10-year swap, The notional is 500 mio USD and LIBOR payments are semi-annual, the 5,5% is annual. I can either use the bootstrap method, (but where can i find the zero rates to compute the discounting factors?) Or i can use a method taking into account the Us treasury note strips( But which one should i take?) I only managed to find monthly data...

Any help is welcomed Smiley Do not hesitate to contact me via email Smiley Thank you very much.

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Normally you produce some sort of model to tell you what is the dynamics of the discount curve. Once you know - (a) what the discount curve is now - (b) what it will look like in the future you can use (a) to tell you the present value of the fixed payment and (b) to evaluate the value of the variable (LIBOR-based) payments. Then subtract one from the other to find the MtM of the position. – gt6989b Feb 25 '14 at 14:21
What market data do you have access to? Ideal list: FedFund rates, Annual vs 3M Libor IRS or Treasuries and spreads, 3m/OIS basis swaps, 3m futures rates. Alternatively, for something very quick, just the 10y market IRS and 3m/OIS basis. All depends on the data. – Phil H Feb 25 '14 at 15:20

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