Explore BrainMass

swap fixed rate (SFR)

This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

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%.

© BrainMass Inc. brainmass.com March 21, 2019, 12:28 pm ad1c9bdddf

Solution Summary

Swap fixed rate (SFR) is determined.