We are looking for the market value of a semiannually paid swap. Say we move a few days forward from the initiation, with say 90 days to the first payment. If we are the side that receives floating rate payments, we find the present value by knowing that the PV at time t=1 is $1, and discounting ($1+coupon) by the days to payment. Why don’t we do the same for the side that receives fixed payments? Doesn’t that side also assume that the market value on coupon dates =1? Thanks in advance.

fixed side is receiving “coupon” payments as per the fixed rate. so fixed rate (deannualized to say semi-annual, or quarterly) * current LIBOR Factor is the fixed side’s payoff.

CP is right. fixed side receives coupon payments floating side receives fixed payments Fixed side’s coupons get reset every period. Float side receipts are fixed all periods Fixed side’s receipts change each period ( we need to consider only the upcoming receipt) , and they are discounted at current rates Float side’s receipts stay same each period , and they’re discounted at current rates