Could anyone of you help me with the following interest rate swap? I am trying to value the swap at the 31/12/x2 Settlement dates, I tried the two bond approach and got different values as compared to the sample solution; I included the sample solution down below.
Type: Interest Rate Swap / Notional: 500.000.000 USD / Start Date: 1/7/20x2 / Maturity Date: 30/6/20x5 / Receive six-month LIBOR / Pay 2%
Settlement Dates: 31 Dec and 30 June
I want to value the Swap as at 31/12/x2, rates are:
30/6/ x3 31/12/x3 30/6/x4 31/12/x4 30/6/x5
31/12/x2 forward 1,73 1,739 1,741 1,792 1,816
0-coupon 1,73 1,735 1,737 1,751 1,764
Sample Solution: 3.254.193
Thank you and best regards!