CFA Level 2 | Derivatives: Pricing Interest Rate Swaps (IRS)

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CFA Level 2
Topic: Derivatives
Reading: Pricing and Valuation of Forward Commitments

Quick and easy steps to calculate the fixed swap rate for an interest rate swap. The basis for the pricing is such that the initial value of the swap is equals to zero, or the PV of the fixed leg is equals to the PV of the floating leg.

Note that the PV of the floating leg is equals to the notional (i.e. 1 in this video) at inception and at every reset date.

Valuing Interest Rate Swaps:    • CFA Level 2 | Derivatives: Valuing In...  

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