Can some one please explain me the intution behind swap fixed price ? Thanks
It’s the no-arbitrage price for a swap. It is the fixed rate which balances the PV of fixed payments with the PV of floating payments, when discounted over the appropriate SWAP curve. Commodity swaps are calculated just like interest rate swaps, just substitute the commodity prices for forward interest rates.
McLeod81: Thanks
Any time
Yeah, the basic idea is that the best indicater of the future libor curve is the current libor curve, so you use that term structure to determine the price for the floating payments.