Swap Valuation

CFA Level II
#1

I have a quick question.

As I was doing 2011 CFA mock, this swap question set really bothers me.

It gives you the 90/180/270/360 LIBOR rate then the 90/180/270/360 rate after 45 days and ask you to value the swap after 45 days.

How do I value this swap without knowing the 45/135/215/305 rate as that’s the discount factor I need to use to discount the CFs??

#2

They provide the new 90/180/270/360 LIBORS? Sounds like you have to calcualate the discount rates… brutual

#3

Yes. They provided the new 90/180/270/360 after 45 days.

I dont mind calculations but how the hell do you get the 45/135/225/315 rates?