Hi, This is about Constant Maturity Swaps, exhibit Spreadsheet T5.b.4 1- In the bottom calculations, I understand the $2500 are the fixed payments. Why were they made at t=0.5 but not at t=1? 2- I'm not sure I understand why the negative payment -$2500 in the lower line 3- When we discounted back through the tree, why did we multiply the fixed payment of $2500 by the probabilities ?! These payments are not tied to the probabilities. Real world or risk neutral. They are the cash flows due to the fixed receiving leg of the swap. The way I see it is that we should've kept them separate : the cash flows and the PVs of swap value at the second node. The latter have to be discounted and tied to their probabilities, whereas the cash flows are certain (p=100%) and need only be discounted to time. Please tell me if I understand correctly. Thanks.