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I have a fixed-float swap valuation to realize. The floating leg is referenced to SOFR with a 10 days lookback. The first coupon has already started, on 01/09/2023, and ends on 01/12/2023. The first coupon fixing is realized on 15/11/2023.

How do I evaluate the first floating coupon interest rate if I want to evaluate the swap MtM on 01/09/2023 or on a later date? (i.e. before the first fixing is realized).

I understand that for later coupons I can evaluate the floating coupons rate with the help of forward rates (constructed from spot rates that I retrieve from my market data provider bloomberg (490 icvs curve)).

Thanks for your help ! :)

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  • $\begingroup$ Just load it in SWPM and it will do all the work for you. You can set the lookback there. This answer explains how teh lookback is computed (vs the backward shift approach). $\endgroup$
    – AKdemy
    Sep 29 at 7:53
  • $\begingroup$ Thanks for your answer. I want to compute the swap manually (to be sure I understand the number Bloomberg gives me). Does this mean that to determine the swap MtM on 02/09/2023 (so before the first fixing date) I will have to compute a compound lookback for the first coupon ? Each coupon has a 3 months duration, so I was thinking to take the valuation date (02/09/2023) has a temporary fixing date and realize the compounding for 3 preceding months (and taking into account the lookback)! Any guidance would be helpful, thanks ! $\endgroup$
    – Nc27
    Sep 29 at 13:04

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