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Assume Swap means a USD Swap with standard conventions (semi-annual fixed payments and quarterly floating payments, etc).

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  • $\begingroup$ why are your USD swap rates 100%/200% ? $\endgroup$ – ZRH Feb 7 '19 at 20:33
  • $\begingroup$ arbitrarily picked, just wanted high rates and steep to highlight any issues in methodology. $\endgroup$ – Wicks Feb 7 '19 at 22:26
  • $\begingroup$ You cannot interpolate linearly your rates. I'm curious about the contraints you're using for your solver but I think you're mixing up the swap curve and the libor3m forward curve. Just having the 1Y/2Y swap rate is insufficient information to build a forward curve. You can only compute the 1Y forward swap in 1 Y with that set of info. $\endgroup$ – Lliane Feb 8 '19 at 2:56