Let Ti, i=1, ... ,n be a set of dates, on which payments of the floating leg of an interest rate swap occur. The payoff of the floating leg of the swap at time Ti is Fi + s where Fi is the reference rate of the floating leg and s is a constant spread. For simplicity, let’s assume that the floating and fixed payments happen on the same dates. Also, ri is the risk-free rate on the same tenor. Let N be the notional of the swap.
1) Whatisthefixedsemiannualswapratecalculatedfromtherisk-freerates?Please specify mathematical formula (no need for exact numerical result at this point).
2) Letthesemiannualswapratecalculatedin1)bethefixedlegpaymentofthe swap. What is the constant spread s which sets the present value of the swap position to be zero? Please specify mathematical formula (no need for exact numerical result at this point).
发帖
雷达卡
京公网安备 11010802022788号
