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 coupons for the next 5Y and notional at the end, and my next [coupon + notional] for Float (the coupon is now in 5 months, and a Floating rate is valued at par right after it pays its coupon).
I have the BUBOR rates. For my discount factors for my PV, do I use straight line interpolation of the rates? Or use the next interest rate? For example, with .39Y to go before the floating rate coupon, do I use the 0.5Y rate, the .25Y rate, or the interpolated (weighted average of rate and time) of both?
Also under continuous compounding (e), since my Fixed leg is ACT/365 and BUBOR is ACT/360, do I have to multiply the BUBOR rate by (365/360) before getting my discount rate to make it equivalent?