Interest Rate Swaps

CFA Level II Portfolio Management
#1

Guys I am stuck on Swap Pricing. angry

Can anyone please give me some insights on interest rates swap valuation.

Thanks

#2

Doing from curriculum or notes ?

#3

The value of a swap is the difference between the present values of the fixed- and floating-rate payment streams. Due to shifts in the yield curve, at any point after contract initiation, the swap value may change.

#4

This article I wrote may be of some help: http://financialexamhelp123.com/valuing-plain-vanilla-interest-rate-swaps/.

#5

@shirwany…reading from schweser coz cfa books look super spooky…there is no way I am even sitting for this one with no notes… sad

#6

hey frank thanks a ton…i keep getting stuck on the value of ‘t’ for some god forsaken reason…alll the ts that i have ever used in any fornula, in any level are out to haunt me now…death by ts crying

#7

@S2000magician…thanks for the link…i am having trouble in getting the correct t in place and then deriving the discount factor…it almost looks as though the curriculum wants to persist with making things as complicated as possible… angry

#8

You’re quite welcome.

Convince me that this surprises you.

#9

i am not surprised at all…i find the language more frustrating than the concept smiley. the one thing i have discovered studying for these 2 levels, is that finance is just about cloaking simple concepts in scary words! wink