How to calculate the old fixed swap rate

Hi there,

I am struggling with a particular question where given a 30/360 day count, it asks me to calculate the market value of a swap after 90 days.

It provides the term structure for the rates, so I subsequently can calculate the PV for the various different days (90, 180, 360 etc).

However, the answer then says, “the value of the swap is the difference between the value at the old rate and the value at the new rate”.

I can calculate the value at the new rate, but I don’t know how to calculate the old rate FSo.

Could anyone kindly advise how I might be able to do this?

Many thanks,

Jamie

Hi Jamie,

Just to clarify, are they asking for the market value of a “swaption”, or a “swap”?