Hi all, For the question on Swap, why do we not consider the coupon in the 8th month when calculating the PV of floating leg whereas in fixed leg we do take into about the 8th month payment? Many thanks!
rhoda Wrote: ------------------------------------------------------- > Hi all, > > For the question on Swap, why do we not consider > the coupon in the 8th month when calculating the > PV of floating leg whereas in fixed leg we do take > into about the 8th month payment? > > Many thanks! Level 2 stuff. Floating value resets (to par value) at every payment time.