Collateralized Interest Rate Swap

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)?

• Well, "collateralized" just means the counterparty has put up enough collateral that you don't have to worry about counterparty risk when you price it. So you can analyse it as a vanilla interest rate swap. – noob2 Sep 19 '17 at 17:02
• @noob2, Thanks for the answer. But how would the collaterlized curve look like? Which Data should I use? I am looking for the OIS adjusted forward curve. – JonDoe Sep 19 '17 at 17:05
• LIBOR curve for projecting Floating Payments and OIS curve for discounting both Floating and Fixed Payments. Find the fixed rate that will make PV of both streams equal. – noob2 Sep 19 '17 at 17:07
• @noob2, do you have a mathematical and numerical example? – JonDoe Sep 19 '17 at 18:14