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SWAP VALUATION -FRA

Rohit

Member
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 methods/equation to calculate fwd rates it would help me a lot...this is very confusing :(
 

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
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 methods/equation to calculate fwd rates it would help me a lot...this is very confusing :(
Hello @Rohit

You may find this thread that @ShaktiRathore created helpful: https://www.bionicturtle.com/forum/threads/swaps.6221/#post-19813

Nicole
 
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