I got the answer, instead of using mid rate for the spot rate, i should have use 0.6693 ( as So, in the denominator) and then i am getting the correct answer which is 2.77% - 0.8% which is 1.97% and times 100,000 is 1970...
I got the answer, instead of using mid rate for the spot rate, i should have use 0.6693 ( as So, in the denominator) and then i am getting the correct answer which is 2.77% – 0.8% which is 1.97% and times 100,000 is 1970…
Not clear; The question also mentions that " Johnson also use the present value factors in Exhibit 1 ie ( 0.990099 and 0.977876) to Value an interest rate swap that the Bank entered into one year ago as the Receive- Floating party. That is the reason why i used those rates to compute the Value and dRead more
Not clear;
The question also mentions that ” Johnson also use the present value factors in Exhibit 1 ie ( 0.990099 and 0.977876) to Value an interest rate swap that the Bank entered into one year ago as the Receive- Floating party. That is the reason why i used those rates to compute the Value and didnt go with the current equilibrium 2 year Fixed swap rate of 1%.
Ok, i think i got the answer.. The ultimate sign depends on whether the company is a fixed rate payer or a floating rate payer.. if the new interest rates increase and if the company is a floating rate payer then the Value of the swap will be negative. Similarly if the company is a fixed rate payerRead more
Ok, i think i got the answer.. The ultimate sign depends on whether the company is a fixed rate payer or a floating rate payer.. if the new interest rates increase and if the company is a floating rate payer then the Value of the swap will be negative. Similarly if the company is a fixed rate payer and if the interest rate increases then the value of the swap is positive..
I think my above understanding is correct.. please comment..
Value of fixed floating swap after initiation
Can you share the example as you are correct in all the sums the floating leg Ka value is on the reset date and hence taken as PAR
Can you share the example as you are correct in all the sums the floating leg Ka value is on the reset date and hence taken as PAR
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I got the answer, instead of using mid rate for the spot rate, i should have use 0.6693 ( as So, in the denominator) and then i am getting the correct answer which is 2.77% - 0.8% which is 1.97% and times 100,000 is 1970...
I got the answer, instead of using mid rate for the spot rate, i should have use 0.6693 ( as So, in the denominator) and then i am getting the correct answer which is 2.77% – 0.8% which is 1.97% and times 100,000 is 1970…
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thank you
thank you
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Thank you for the detailed explanation sir.
Thank you for the detailed explanation sir.
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Thanks thought so. thanks for confirming.
Thanks thought so. thanks for confirming.
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just attached the Item Set and Q4
just attached the Item Set and Q4
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Thanks for sharing...
Thanks for sharing…
See lessSwap Valuation
Not clear; The question also mentions that " Johnson also use the present value factors in Exhibit 1 ie ( 0.990099 and 0.977876) to Value an interest rate swap that the Bank entered into one year ago as the Receive- Floating party. That is the reason why i used those rates to compute the Value and dRead more
Not clear;
The question also mentions that ” Johnson also use the present value factors in Exhibit 1 ie ( 0.990099 and 0.977876) to Value an interest rate swap that the Bank entered into one year ago as the Receive- Floating party. That is the reason why i used those rates to compute the Value and didnt go with the current equilibrium 2 year Fixed swap rate of 1%.
I am not able to follow their answer..
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Ok, i think i got the answer.. The ultimate sign depends on whether the company is a fixed rate payer or a floating rate payer.. if the new interest rates increase and if the company is a floating rate payer then the Value of the swap will be negative. Similarly if the company is a fixed rate payerRead more
Ok, i think i got the answer.. The ultimate sign depends on whether the company is a fixed rate payer or a floating rate payer.. if the new interest rates increase and if the company is a floating rate payer then the Value of the swap will be negative. Similarly if the company is a fixed rate payer and if the interest rate increases then the value of the swap is positive..
I think my above understanding is correct.. please comment..
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Thanks a lot for this beautiful explanation!! This is so very clear to me now.. thanks a lot..
Thanks a lot for this beautiful explanation!! This is so very clear to me now.. thanks a lot..
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