Timeline for Calculate interest rate swap curve from Eurodollar futures price
Current License: CC BY-SA 3.0
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| Aug 25, 2016 at 21:10 | history | bounty ended | CommunityBot | ||
| Aug 22, 2016 at 20:46 | comment | added | Gordon | @HerbN: this is just to put the example from the question in context. In practice, you can have any periods and any frequency as you like. | |
| Aug 22, 2016 at 20:08 | comment | added | HerbN | Why are we only using two periods to determine K? I understand fixed rates are normally paid semi-annually while floating are paid quarterly, is that the reason? If not wouldn't we want all four periods to compute the swap rate so at the time the agreement is entered into it would be neutral? | |
| Aug 18, 2016 at 1:29 | history | edited | Gordon | CC BY-SA 3.0 |
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| Aug 17, 2016 at 23:31 | history | edited | Gordon | CC BY-SA 3.0 |
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| Aug 17, 2016 at 21:07 | history | edited | Gordon | CC BY-SA 3.0 |
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| Aug 17, 2016 at 21:01 | history | edited | Gordon | CC BY-SA 3.0 |
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| Aug 17, 2016 at 20:47 | history | answered | Gordon | CC BY-SA 3.0 |