Tag Info

New answers tagged


If I understood the problem, you are valuying the swap in the 1st year. The MtM, as you know, is the difference of both legs. The value of your swap will be: 100*(1+3.95%)-100*(1+2%)=1.95 in year 1. If you want to calculate the MtM value, just divide by the floating rate: 1.95/(1+2%)=1.911. This is from the fix leg side. If you just change it to the ...

Top 50 recent answers are included