Could anyone explain please the swap valuation at payment date. In problem 12 of Swaps they do not calculate floating payment as they did it in example 4. Tasks are similar, but in the example 4 they calculate floating payment, add it to 1 and discount it by discount factors, whereas in problem 12 they just take floating payment equal to 1 and do not discount it.
Plz post the question here if possible
Tatyan - post entire question so we can see what we’re working with. Thanks.
somewhat irrelevant to the topic here but interesting non the less i think (especially the part about level 2 swaps)
I think she’s referring to Example 8 (not 4), and Problem 12.
Both questions are about swap marking to market. The text, and questions 12 and 13, take the value of the floating side as 1 (ie. PV(float)=1) given that the MTM occurs on a revaluation date (where the PV of future floating payments is reset to par).
Example 8, calculates PV(float) as if it were in between reset dates, even though it is not. (ie. PV(1+next floating payment))
I think Tatyanatanya raises a legit question.
you can email it to CFA institute they will clarify
thank you, that is what I am asking. Example 8 shows other solution compared to solutions in problem 12