Hello, Why we do repricing of swap in mark to market for next settlement period, as the fixed rate for Swap decided or calculated at beginning then why new fixed rate is calculated? Thanks.
Generally you want to compare the original price to the new price in order to value an asset.
I don’t know which format you are using, but the official curriculum has a nice template where you just calculate the Z factors twice (if not given) then use a simple formula to calculate the unit notional value.
The fixed rate doesn’t change; that’s why it’s called “fixed”.
The floating rate changes. We want to account for that.
New fix rate calculation usefull to value the swaption (between beginning of the swaption and at the expiration of swaption)
Or you want to offset your existing swap with other opposite swap (originally you are swap payer no you are going to be swap receiver).
Or just simple year/quarter/month valuation purpose