Swap Valuation Bond Methodology
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Fixed Payment Floating Discount 1 3 months 30000 1025000 0.986591 29597.72 1011255.48 -0.0135 2 9 months 30000 0.95887 28766.09 -0.042 3 15 months 1030000 0.930066 957967.72 -0.0725 1016331.53 1011255.48 The value of a swap 5076.05 mibor current at last reset date 5% Fixed vs floating swap 6% fixed swap against mibor 3month spot 5.40% 0.01 0.98668 9 month spot 5.60% 0.04 0.959693 15 month spot 5.80% 0.07 0.932401 PV of Fixed Cash Flow PV of Floating Cash Flow
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Swaps Valuation
Transcript of Swap Valuation Bond Methodology
Fixed Payment Floating Discount1 3 months 30000 1025000 0.986591 29597.72 1011255.48 -0.01352 9 months 30000 0.95887 28766.09 -0.0423 15 months 1030000 0.930066 957967.72 -0.0725
1016331.53 1011255.48The value of a swap 5076.05
mibor current at last reset date 5%
Fixed vs floating swap 6% fixed swap against mibor
3month spot 5.40% 0.01 0.986689 month spot 5.60% 0.04 0.95969315 month spot 5.80% 0.07 0.932401
PV of Fixed Cash Flow
PV of Floating Cash Flow
0.948767 0.25 0.986938 29608.14 10112550.94697 0.75 0.959958 28798.730.94518 1.25 0.931951 959909.2
1018316 1011255 7060.552
PV of Fixed Cash Flow
PV of Floating Cash Flow
