Posted: February 14th, 2017

Calculate how much the swap value right now for the fixed payment side.

There is a 2 year swap contract (fix to float) signed on the swap rate of 5%; Interest will be exchanged every half year. Now suppose the swap contract start from now on and the current zero rates are in the table below. Calculate how much the swap value right now for the fixed payment side.

Maturity(Yrs) Zero Rate(Continuous compounding)
0.50 5.20%
1.00 5.30%
1.50 5.30%
2.00 5.45%