swap question on the cfa mock

Hi, could someone explain to me about question 53 of the CFAI AM mock? The question was asking to calculate the difference for the swap after 100 days. The answer was : ((723.86/757.09) - .9209 - .0499*(.9691+.9209)) * 100,000,000 I believe the first part of the equation (723.86/757.09) - .9209 is the amount for the floating payer, the second part .0499*(.9691+.9209) is the amount of the fix rate payer. Why do we use the 620 day discount rate on the floating side (.9209) instead of the 260 day discount rate (.9691)? I thought the floating rate resets during the next payment and since the swap is paid annually shouldn’t the first reset at a year later which is .9691? Thanks! Dave

(723.86/757.09) - .9209 is the amount for the floating ( in fact, equity return ) payer. The .9209 is there because (723.86/757.09) is not just the return of the index - it includes the principal. .9209 is the PV of 1$ of principal that would be exchanged in 620 days. BTW I think you don’t have to discount the (723.86/757.09) because it is kind of a present value. Does that help?

Hey naze, i believe i understand now. Thanks for your help.