I am trying to learn how to value interest rate swap through portfolio of FRA's(forward rate agreement).But I have got stuck in calculation of floating leg.
Here is the scenario as given below for which I need help.
The swap starts at 05-Jan-19 for which the zero coupon discount factor is 1.The 1st cashflow period is from 05-Jan-19 to 05-Jul-19.
The start date and end date of cashflow for 2nd period is from 05-Jul-19 to 05-Jan-20.
By linear interpolation (zero coupon discount factors are given);I got zero coupon discount factors at 05-Jul-19 and 05-Jan-20 (2nd period). Assume these zero coupon discount factors to be df1 and df2 respectively.
Questions - How can I find forward discount factor for this 2nd period(05-Jul-19 to 05-Jan-20).Also how can I find forward reference rate for this 2nd period.