I would like to know what is the impact of a fixing on the value of a fixed vs floating interest rate swap (IRS). Also, I have the same question about the fixing impact on a cross currency swap?

On a fixing date, does the value of the swap decrease ? Is there any change in the interest rate sensitivity?

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    $\begingroup$ Unclear what you mean ! $\endgroup$ – dm63 Oct 22 '20 at 10:09

It is not very clear what you are asking. On fixing date, the floating leg has a duration that is approx. the duration of a ZCB with maturity equal to the next payment. Anyway, the pricing of the floating leg is always the discounting of forward rates so the fixing date has not a direct impact on the price but rather on the interest rate sensitivity.


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