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
https://drive.google.com/file/d/1QqEmMaliYney6Owyf4CAcQpRdVlm5yHa/view?usp=sharing