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How to convert 3M IRS rate to 6M IRS rate without using basis swap?
I have a spot curve where the front-end points (1Y, 2Y) have a fixed/float frequency of 3M3M, while the rest of the points are 6M6M. I want to build a full 6M6M curve.
My question is: How can I derive ...
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Why is carry divided by DV01 to scale it?
If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg.
When I read this on Page 2:
https://corporate.nordea.com/api/...
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