Question about Interest Rate Swap valuation (Floating Rate Side)
The value of a fixed-for-floating interest rate swap is PV(fixed) - PV(floating) or the other way around, but I didn’t quite understand the calculation for PV(floating) part.
So if we are valuing such a 1-year swap with quarterly payments at 30-day for example, PV of floating rate bond is calculated as First Payment at 90-day + Bond Par Value, and then discounted to 30-day. Schweser showed that a floating-rate bond will always be worth its par value at every settlement date, but I still don’t really understand why we don’t need to consider the CFs at 180-, 270-, and 360-day? It looks just like the final payment of a fixed rate bond.
Can someone also remind me where is the relevant chapter for floating rate bond valuation in the readings?