Can somebody please explain me what an off-market FRA is or how a swap could be an equal to a series of off-market FRA?
An off market FRA is where the strike price is not based on the expected arbitrage forward rate. It will have a positive or negatuve value at the start.
In order to construct payments similar to a swap we need to use off market FRAs as “market” FRAs will not emulate the same cash flows.
So clear now, will not forget this great explanation. Thank you!