Is there a difference in way one uses given LIBOR rate for calculating payments in FRA and IR swap. It seems in FRA you take LIBOR at expiration where as in IR swap you use current LIBOR. Is that right? I am talking about probs on pg 177 (FRA) and pg 231 (IR swap) book 5 Schweser. Thanks and good luck with the exam…
FRA uses the LIBOR at settlement date and SWAP uses the LIBOR at the begining of the settlement period. Look at the formula on page 230