Valuation of plain-vanilla interest rate swap (T3-32)
[here is my XLS https://trtl.bz/2Q4XFCh] I breakdown the valuation of an interest rate swap into three steps: 1. The assumptions, which includes understanding the TIMELINE; e.g., we are valuing the stop at some point after origination and it has some remaining life (in this case 15 months); 2. Extracting the implied semi-annual forward rates from the LIBOR zero rate curve; and 3. Modeling the cash flows, in the first part as a series of forward rate agreements (FRAs). Discuss this video here in our FRM forum: https://trtl.bz/2JQ41G1.
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