wanna ask what’s the difference in calculating the interest rate swap rate between ‘swap of pay fixed, receive floating’’ and 'swap of pay floating, receive fixed"?
Thank you.
There isn’t any difference.
Bob and Mary enter into a plain vanilla interest rate swap: Bob pays fixed, Mary pays floating. Bob’s calculation of the rate he’ll pay is the same as Mary’s calculation of the rate Bob will pay. (If they’re not, Bob and Mary won’t enter into the swap; they’ll argue.)