Could someone please provide an explanation on the BB 14. It uses formula (0,02-0,013) x 4,822107, which gives 3,375.
When I calculate PV of fixed side, I get 103,389. When I reduce it for the PV of floating (which should be notional of 100,000 because we are at the settlement date) I get 3,389.
Could you please help on this? Is my method of calculating present value wrong or?
I don’t have the problem in front of me, but it sounds like you are forgetting to include the floating rate payment in your calculations. While it is true that the notional value resets to 1 at a settlement, you still get the floating rate coupon that was locked in at the last settlement date.
probably rounding error, it’s usually assumed that on settlement date, the exchange of payments already took place.