Swap value to the fixed rate payer: $100 does that mean he pays the floating side $100?
No, that means he takes the risk.
Yes thats what I assume. If value fixed = 100 v floating = 95 , floating is winning 5
So does that mean he is receiving the money? if thats at maturity.?
swap “value” would mean the present value of the floating cash flows (receipts0 exceeds the PV of the fixed cash flows (payments) by $100, IMO…
Value to the fixed payer is : Value of floating payments - value of Fixed payments
okay so if the swap value to the fixed was: 1.5 Swap value to the floating is :0.9 the floating wins right?
No he does not receive the money, the implication is that if the value of your side is positive the other guy can default and you lose out therefore you have risk.
vinne - yep, thats it. if i’m a fixed PAYER (floating RECEIVER), i want interest rates to go up (because i receive floating payments). if i’m a floating PAYER (fixed RECEIVER), i want rates to go down
thanks dear!