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.
thanks