Marking a Swap to Market after Rates Move
This lesson is part of the course
In this lesson
One year after Corvane locked in 3.50% for 5 years, rates are higher. You revalue both legs on today's curve and find what the swap is worth.
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Lessons in this course
- Swap Cash Flows: Fixed vs Floating Legs & Day Counts Locked
- Bootstrapping Discount Factors from Par Swap Rates Locked
- Forward Rates and Forward Swap Rates from Discount Factors Locked
- The Par Swap Rate with SUMPRODUCT Locked
- Marking a Swap to Market after Rates Move Locked
- DV01 and PV01: Bumping the Curve by 1 bp Locked
- Hedging a Floating-Rate Loan: Net Cost & Hedge Effectiveness Locked
- Swap vs Interest Rate Cap: Cost Scenarios & Breakeven Locked