求助一题关于swap 的题目

Today, a 2-year swap rate (written on a 6-month Libor rate) is quoted at 2.23%-2.34%. You expect a rise in interest rates so you decide today to enter into a 2-year payer swap (pay the fixed rate and receive the floating rate).Few minutes after entering into the swap, interest rates fall and the 2-year swap rate is quoted at 1.55%-1.78%

Questions:

1.
What would you do?
2.
What is your P&L?     
zuih请给予detail  thousand thx

楼主，这是什么上的题啊？

1.你亏钱了，可以止损或者继续持有。止损方法就是做一个方向的swap。
2.你的本金F,第一份swap利率r，第二份R。你亏了F(r-R)0.5/(1+R)^o.5+F(r-R)/(1+R)+...
也就是每一此互换损失的钱用新的利率贴现。

Too difficult to solve! Because swap is a series of forward.

I think you should calculate the fixed rate. Use the concerned formula, 折现公式, 然后将付出与收入比较.

对于止损,可以考虑用反向swap,或者可用swaption.