What does it mean the value of the fixed rate side, does that mean the value of the swap to the fixed rate side? , hence a value of $0.99768 means the fixed side loses? Say if the value of the floating side was $1.01066, that means the floating side wins? A practice exam question in Schweser book 1. Page 65 # 117.I was confused by their wording. Thanks
Value to the fixed rate side means value to the fixed rate payer.
vinniepaz730 Wrote: ------------------------------------------------------- > What does it mean the value of the fixed rate > side, does that mean the value of the swap to the > fixed rate side? , hence a value of $0.99768 means > the fixed side loses? Say if the value of the > floating side was $1.01066, that means the > floating side wins? > > A practice exam question in Schweser book 1. Page > 65 # 117.I was confused by their wording. > > Thanks No you cannot say that. It depends on who is receiving the fixed/floating and paying fixed/floating. Lets assume that I am receiving fixed and paying floating Then, 0.99768 - 1.01066 = -0.01298 x 1,000,000 (assumed) = -12,980 I have to pay the floating side $12,980. So yes the floating side wins.
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