Just a question on IR SWAPs and the valuation under two scenarios.

If the question asks you, value the swap 100 days after initiation (i.e. not on a payment date),do you then find the PV of the remaining payments and principal and net them? Taking into consideration, the value of the floating rate side would just be 1+ floating rate, not the remaining payments.

When the question asks you to find the value of the swap on a payment date, let’s say the 1st payment date, do you only find the PV of those payments and net them? For example, 90 day fixed rate - 90 day floating rate x notional.

When valuing mid-term you have to calculate both fix payer and floating payer:

Fix payer will be swap rate x days/360 discounted back with the new IR term structure for the remaining payment dates + notional discounted back with the last IR.

Floating payer is the LIBOR rate pertaining that period you are in + notional discounted back with the first IR in the new term structure.

When you value at a payment date: the floating will be just the notional, while the fixed you calculate as above.

Swaps are much better explained in Schweser, I don’t even understand the notation of the curriculum, I don’t know what source you are using.