Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
Background: We want to design a compensated prepayment liability index to define an amount a bond buyer would need to receive in a redemption prior to the nominal maturity of a bond. Ideally we'd ...