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Why would I need historic fixing rates for swaps started in past?. If trade is started in past say 2 yr back and rate is fixed 3 mth back then I only need this known rate to calculate price right but don’t need anything beyond this point in past is that correct?

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  • $\begingroup$ Yes, it's correct. $\endgroup$
    – Sebastian
    Nov 26 '21 at 19:57
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Yes and no.

From one perspective, if your only goal is to poject the remaining cash flows, and to pv them in order to pv the swap, then you don't need the historical resets.

But from another perspective, if your goal is to print out all historical cash flows since the swap's inception (which is likely to be a requirement at a larger institution), then you do need the historical resets for the floating leg. Either you need access to the historical market data on reset dates, or (I actually prefer this design) store every reset used to calculate the coupon amount, with each swap's indicative data.

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  • $\begingroup$ The OP said in the question: "to calculate the price". $\endgroup$
    – Sebastian
    Dec 3 '21 at 19:26
  • $\begingroup$ Would (or should) your model risk management team permit you to price a swap if you can't reproduce its historical cash flows? $\endgroup$ Dec 5 '21 at 14:51

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