# Tag Info

### Returns of an interest rate swap

I think the best concept of return for the interest rate swap is (2-0)/m, where m is the outlay for initial margin. This is rarely calculated at an institution holding a large portfolio of swaps, ...
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Let us specify the floating-leg rate reset dates to be $T_\alpha, T_{\alpha+1}, \ldots, T_{\beta-1}$, payment dates $T_{\alpha+1}, \ldots, T_{\beta}$. Set the day count fraction to \$\tau_i \equiv T_{i+...