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...
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...
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.
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...
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...