[question removed by moderator]
Shouldn’t they have identical PRICES (essentially the fixed rate) but different values (off- market) ? Appreciate the help!
A swap is equivalent to a series of FRAs, not a series of forward contracts.
It actually says specifically in Reading 59, 3.3. Pricing and Valuation of Swap Contracts , that:
"A swap is in some sense a series of forward contracts, specifically a set of contracts expiring at various times in which one party agrees to make a fixed payment and receive a variable payment."
This is my understanding (correct me if I am wrong):
The goal is to somehow replicate the transactions that occur as part of a Swap, i.e. exchange constant payments over n periods against variable payments over n periods.
We know that forwards contracts are typically priced in such a way that their value at initiation is zero. This is not mandatory however. We can thus take n forward contracts, and price each of them in such a way, that each of them has a value (different from zero) equal to the payment that is part of the swap. Then they all have different prices but the same value.
I kind of see how you could use the FRAs as well. You could just enter a bunch of FRAs that mature at the respective payment dates of the SWAP and then you either pay money on those dates or receive money.