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Basic Question 2 of 7
When the Quantum Electronic swap was first established, the fixed rate was set at 9.75%. To value the swap 180 days into its life, we have the new term structure of interest rates as follows:
What's the value of the swap?
User Contributed Comments 2
| User | Comment |
|---|---|
| ashish100 | Where did that 2 come from in the equilibrium fixed swap rate formula ?? |
| ashish100 | 360/180 |
I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
describe how currency swaps are priced, and calculate and interpret their no-arbitrage value;
CFA® 2026 Level II Curriculum, Volume 5, Module 31.