How is interest rate swap's MV quoted?

CFA Level III
#1

Is it pay fixed & receive float?

#2

swaps are always quoted with bid/offer of the fixed swap rate…not sure if this is what you are looking for or not

#3

how about market value? if the market value of a swap is positive, does that mean the fixed rate payer has credit risk?

#4

the market value is negotiated upon with the dealer, and is calculated through the bid/offer of the fixed rate that you see on a given day. you would never see a dealer quote the MV of a particular swap.

#5

Interest Rate Swap MV Calculate the discount factors based on the current yield curve ( disc factor = 1 / (1+r)^T) Floating side = (1 + period rate on last reset date) * Discount factor Fixed Side = (negotiated fixed rate)*Discount factor + … + (1 + negotiated fixed rate)*(discount factor) The reason you add 1 to the floating side, and only add 1 to the last statement on the fixed side, is that it takes care of paying back the principal. I used “period rate on last reset date” to make clear that you have to find the quarterly/semiannual/annual rate, depending on the swap period. Hope that helps…