How would you use the equation (1-Last PV factor)/Sum PV Factors for the below since the last Libor is 450 days? IT IS A 6X15 FRA

LIBOR. PV FACTOR

90 day libor. 3.4%. .9916

180 day libor 3.6%. .9823

270 day libor. 3.8%. .9723

450 day libor. 4%. .9524

SUM 3.8986

125mph
#2
The equation you listed, **SFR = (1 − ***z*_{n}) / Σ_z_{i}_ is a swap fixed rate calcuation, not an FRA calculation

To find 6x15 FRA, you would do:

((1 + .04x450/360) / (1 + .036x180/360) - 1) (360/270) = 4.19% annualized.

Can we discuss why it’s [1 + **.04 * (450/360)**] and not **1.04**^{1.25} ??

125mph
#4
Because it’s libor -> nominal rates

Perfect sense. Thank you!

cadr93
#6
I had same query and not able to understand …can u explain in little more detail

Buddy you are mixing up things here FRAs and Swaps are different, u are calculating a Swap but your title says FRA I don’t understand.

cadr93
#8
it is an fra swap …interest rate swap