I am struggeling with the wording "Collateralized" IRS and try to get an understanding out of it based on an example. Especially what it means that in the multi curve models the expectations are calibrated such that the net present value of a swap equals zero (PV Fixed - PV Floating).
I have the following IRS:
Notional 1 Mio. Euro Fixed Rate Leg = 2% Floating Rate Leg (Tenor) = 6M Euribor without spread Maturity = 2 years Tenor Floating = 6 Month Tenor Fixed = 12 Month Day Count Conventions Fixed = Actual/360 Day Count Conventions Floating = Actual/360 Discount Curve = OIS USD
How would an example look like (with math and with numerical numbers)?