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  1. J

    Hull, Swaps (Apple & Citi example)

    Hi everyone, Can someone please explain why the floating rate portion in Hull’s Apple-Citibank example is multiplied by 0.5? (See page161) Apple pays fixed rate (3% pa on a notional principal of $100m) while Citi pays fixed (6m Libor rate prevailing prior to the pmt day * $100m * 0.5). What’s...
  2. U

    Hull, Chapter 7 , Swaps

    Hi, I have question for Hull, Chapter 7, Swaps. I am quite confused about calculating the value of the floating rate bond. Referring to this example: Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a...
  3. G

    Hull Chapter 7: Swaps

    In reference to R19.P1.T3.FIN_PRODS_HULL_Ch7_Topic:Interest_Rate_Swap_Valuation:- Hi- Happy Easter everyone ! Have a quick question on the example illustrated below which I was revisiting.. In the FRA Method of IRSwap Valuation:- i) We calculated/extracted the "Continuous"-Forward Rates. ii)...
  4. Rohit


    Hi, Trying to understand how to value swap using FRA. In the notes we first calculate continuous fwd rate using the hull equation then convert to semi-annual fwd rate (continuous to discrete formula). Why do we do this? Also, if anyone can explain to me in clear and simple words the different...
  5. N

    Cross Currency Swaps FX Risk

    Dear David, colleagues, I am already FRM certified, yet when working in the real world I find problems/situations where when looking back, I realise there things I didn't pay too much attention on. One of these is around cross currency swaps and somewhat generally FX products. My question is...