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The counterparty could be practically anyone, since the rulebook says 51104. DELIVERIES ON EXPIRING FUTURES CONTRACTS 51104.A. Requirements for Participation in Delivery For an account carried by a clearing member to make or accept delivery on an expiring futures contract, the holder of such account is required to be: 1. an Eligible Contract Participant, ...

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There are several ways to understand how to price a swap. One way is to see it as a sum of Forward Rate Agreements that you can price individually. This is more or less what Probilitator explained. A simpler way imho is this: if you are receiver of floatting leg the value of the swap at $t\leq T_0$ $$Swap_t = Leg_{Float,t} - Leg_{Fixed,t}$$ I think ...

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To explain it I will need some preliminaries. A forward starting payer swap (or receiver swap of the floating leg) is an instrument where the holder pays fixed and receives floating at some predetermined points in time in the future. (The payment/exhange dates of fixed and floating could differ - e.g. the fixed leg is paid annualy and the floating is paid ...

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