Interest Rate Swap Valuation

CFA Level II Derivatives
#1

Hi,

Could anyone of you help me with the following interest rate swap? I am trying to value the swap at the 31/12/x2 Settlement dates, I tried the two bond approach and got different values as compared to the sample solution; I included the sample solution down below.

Type: Interest Rate Swap / Notional: 500.000.000 USD / Start Date: 1/7/20x2 / Maturity Date: 30/6/20x5 / Receive six-month LIBOR / Pay 2%

Settlement Dates: 31 Dec and 30 June

I want to value the Swap as at 31/12/x2, rates are:

30/6/ x3 31/12/x3 30/6/x4 31/12/x4 30/6/x5

31/12/x2 forward 1,73 1,739 1,741 1,792 1,816

0-coupon 1,73 1,735 1,737 1,751 1,764

Sample Solution: 3.254.193

Thank you and best regards!

#2

Hi,

this is the result I calculated in Excel:

Best regards, Oscar

#3

Type Interest Rate Swap Notional (US$m) 500,00 Receive 6mLIBOR Pay 2,000% Start date 01/07/20x2 Maturity date 30/06/20x5

01/7/20x2 30/6/ x3 31/12/x3 30/6/x4 31/12/x4 30/6/x5

Zero-coupon 1,730% 1,735% 1,737% 1,751% 1,764%

Forward rates 1,730% 1,740% 1,741% 1,793% 1,816%

Discount rates 0,991424 0,982873 0,974391 0,965733 0,957043

Paying fixed leg 5,00 5,00 5,00 5,00 5,00

PV fixed leg 24,36

Receiving variable leg 4,33 4,35 4,35 4,48 4,54

PV variable leg 21,48

Swap value -2,88