How to calculate to calculate daily interest accruals and cashflows for the full term of the swap, given notional, effective date, maturity date: (total one year), accrual: ACT/360 payment: semi-annual, 2 day lag, fixed leg: [], floating leg: receive fed funds effective rate, daily reset,

I omitted the actual parameters since i want to perform the calculations myself, I just need formulas and explanation to get started.


  • $\begingroup$ There are tons of swap pricing xls sheets when you google "swap pricing xls". Best you download some and play around with the numbers. Your question is way too broad to respond to it meaningfully. Your best bet is to price a swap on a spreadsheet following some of the examples. $\endgroup$
    – Matt
    Dec 17 '12 at 6:01
  • $\begingroup$ @vehomzzz should we assume your swap is a plain vanila IR swap? $\endgroup$
    – bonCodigo
    Dec 17 '12 at 8:03

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