Great example, however can this be used for Kellyz question asked, I think you said £2,114,010 to the receive fixed but how did you work out the coupon on the floating? If you are not given the 90 day LIBOR at inception of the swap then I am right in thinking you cannot use this method? The correct answer was -£2,250,000.
Very good explanation. Helps a great deal. I hate those questions normally.
Can you help please…I must have done a/some silly mistakes but can somebody tell me where I go wrong in my computation…only 2 neurones still working… Value of fixed rate coupon = 5.15/4%*250,000,000=3,218,750 Fixed Bond = 250,000,000+3,218,750*2 =256,437,500 (A) Floater = 1.42%*250,000,000+250,000,000 = 253,550,000 (B) Value of swap = A-B = 2,887,500
BUMP