SWAP marking to market

a two-year swap to pay a fixed rate and receive a floating rate with _ semiannual payments. _ The fixed rate is 0.0462. Now, 360 days later, the term structure is

Days** Rate (%)** 180 10.1 360 10.4

The next floating payment will be 0.045. The swap calls for marking to market after 180 days, and, therefore, will now be marked to market. Determine the market value, identify which party pays which, and calculate the new fixed rate.

The market value of the fixed payments plus $1 hypothetical notional principal is 0.0462(0.9519 + 0.9058) + 1.0(0.9058) = 0.9916.

The market value of the floating payments plus $1 hypothetical notional principal is 1.045(0.9519) = 0.9947.

Therefore, the market value to the party paying fixed and receiving floating is 0.9947 – 0.9916 = 0.0031.

My Question:Whe they used instead semi annual pmt - annual i.e. . 045 vs .0225 question explicitly asks for semi aannual


It doesn’t state that the annual floating rate is 0.045, it states “the next floating payment is 0.045” - so well, the next floating payment is just that.

The fixed RATE is 0.046, the next floating PAYMENT is 0.045 which would lead me to believe that the floating RATE is 2 x 0.045 = 0.09, i.e. 9%

Look at the current term structure mentioned for 180 and 360 days…10.1% and 10.4% - this would fit in closely with a previous floating RATE of 9%.