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I have several levels of fixed rate swap vs. Euribor 6 months from 2007 up to now. I would like to know how to calculate with these data the fixed and floating leg of the swaps.

This is a part of the data, and they are swaps receivers. Once I have both legs, I could calculate the expected exposure.

Thank you so much

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  • $\begingroup$ Not sure what you mean. For the 5y swap observed on 31/12/2007, the fixed leg is 4.60% paid annually with a 30360 daycount, and the floating leg is 6 month Euribor paid semiaanually with a Act/360 daycount. IS that what you mean? $\endgroup$ – dm63 Aug 1 '19 at 21:25
  • $\begingroup$ My question is related with the procedure, I mean, what discount factor is needed, if it is necessary calculate forward rates,etc. $\endgroup$ – JB1 Aug 2 '19 at 10:20

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