No, for a one year swap, there are two reset period, t=6 and t=12, back to our original question , current period is t=4, so the floating leg is (1+0.054*(180/360))*0.9911), the question mentions " the next floating payment will be 5.4 percent", 0.054 is t=6 rate, thus both you and me are wrong, according to me, I will use t=4 rate, which is wrong, according to you, you will use t=0 rate, also wrong. if current period is t=7, we should use t=12 floating rate, just for your info.
francisgy Wrote: ------------------------------------------------------- > No, for a one year swap, there are two reset > period, t=6 and t=12, > > back to our original question , current period is > t=4, so the floating leg is > (1+0.054*(180/360))*0.9911), the question mentions > " the next floating payment will be 5.4 percent", > 0.054 is t=6 rate, thus both you and me are > wrong, according to me, I will use t=4 rate, which > is wrong, according to you, you will use t=0 rate, > also wrong. " the next floating payment will be 5.4 percent", 0.054 is the t=0 Libor for 6 months. Please kindly refer to L2. Otherwise, we will waste too much time.
I have stopped responding to Fransicgy questions. If you believe that the CFAI text is incorrect then use what you believe is correct in the exams. Then everyone will be happy. That will give some of us who are not so smart a fighting chance.