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Swap fixed rate

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Reference no: EM13325235

What would be the swap fixed rate (SFR) for a plain vanilla, two-year interest rate swap, payments every six months beginning 07/01/0x with the following assumptions/data:

Swap initiation, January 1, 200x

FRA1,0 = 2.221%; FRA1,1 = 2.258%; FRA1,2 = 2.322%; FRA1,3 = 2.388%; FRA1,4 = 2.520%; FRA1,5 = 2.632%; (Read the notation, FRA1,0 as “six-month forward rate from 01/01/0x, FRA1,1 as “six-month forward rate, six-months from 01/01/0x, FRA1,2 as “six-month forward rate, one-year from 01/01/0x, etc..

LIBOR to remain at 2.18%.

Reference no: EM13325235

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