Could someone explain where they obtained the “.008396” factor in question 4 regarding the MV of the swap. Thank you in advance.
It’s the quarterly fixed rate from question 1.
Correct. They did not annaulize (de-annualize) for the valuation of the swap as it resets quarterly.
Could someone please clarify solution to question 5 in TT Whitney.
Here, quarterly payments they calculate and discount as 25,000,000 Eur x 0,023181 x 2,9552 (plus they discount notional 25,000,000 Eur x 0,977422). If these are quarterly payment, shouldn’t they be calculated as 25,000,000 x 0,023181x90/360 x 2,9552 (plus notional 25,000,000 Eur x 0,977422? (I believe this is the approach used in the Schweser example on page 149)
I would really appreciate clarification on this. Thank you.