Swap rate and bootstrapping

Q1989 · March 5, 2016, 2:29pm

Hi all,

I am stuck in fixed income because I just can’t get the bootstrapping and how the swap rate calculated

Can someone please explain to me.

Thanks

AP100 · March 5, 2016, 2:53pm

Review L1 Fixed income Curriculum. It explains right from the basic.

krokodilizm · March 5, 2016, 3:51pm

Bootstrapping is a difficult concept to grasp if you are not in the industry but most people could swear it is very simple.

There is no shortcut to explaining it. You must follow the step by step procedure in calculating it.

All I can say to help is this: Review your Level I material so that you are absolutely sure about the fixed income terms. What I found difficult was the jargon used and if you are not confident in this topic then a single word can put you off.

S2000magician · March 5, 2016, 5:46pm

I wrote a couple of articles that should help you here:

Bootstrapping: http://financialexamhelp123.com/par-curve-spot-curve-and-forward-curve/
Swap fixed rate: http://financialexamhelp123.com/pricing-plain-vanilla-interest-rate-swaps/

Q1989 · March 5, 2016, 10:16pm

finally I understood ! , thank you so much S2000magician

S2000magician · March 5, 2016, 10:55pm

Glad to hear!

You’re welcome.