Please check if I correctly calculate the swap fixed rate!

TWGlover · June 2, 2019, 12:25pm

Hi, I’m newbie here, just signed up.

I really want to know at which part I did make mistakes.

In derivative, Module 39.7, example, I calculated swap fixed rate.

For 5 mil, quaterly floating annually fixed

LIBOR

90day 3%

180day 3.5%

270day 4%

360day 4.5%

so, calculated SFR = 0.011326, , let’s say 1.1% => because it’s quaterly paying, annual SFR will be 4.4% .

After all this process, I decided to get PV of both legs.

First I got the forward rates for each quarters

LIBOR spot

0.03

LIBOR(1,90)

0.0400242718

LIBOR(2,90)

0.0500725805

LIBOR(3,90)

0.0601446936

then, I discounted the whole cash flow but it seems that both legs aren’t same