Schewser swap rate question

Exam 1 pm section, 117 2yr, \$30mil semi-annual pay interest rate swap Days Annual rate Discount factor 180 3.25% 0.9840 360 3.35% 0.9676 540 3.60% 0.9488 720 3.85% 0.9285 After 120 days, the value of the fixed rate side and the floating rate side of the swap (based on \$1 of notional principle), assuming the annualized swap fixed rate is 3.80%, are closest to : Fixed Floating A). \$0.98190 \$1.01066 B). \$0.98190 \$0.99970 C). \$0.99768 \$1.01066 D). \$0.99768 \$0.99970 My real question is how do you derive the after-120day discount factor?

You sure they don’t give you the 60, 240, 420 . . . . rates/discount factors?

Nope

Anyone want to take a shot at solving this question?

I’m guessing it’s either A or C

Holy smoke, I am going get smoked on this

The new term structure and discount factors are provided in the vignette: bottom of page 70.

ph Boom I’m looking at the exam question they have given you an entire table with a list of all the rates look for the 60, 240, 420, and 600 days…and you’ll get your answer…

Mumu, thanks man. Holy smoke I can’t believe I missed it