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1 Simple Question – Interest rate Swaps (bid only if you are sure to answer correctly)

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Posted on 
October 8th, 2021
Home Uncategorized 1 Simple Question - Interest rate Swaps (bid only if you are sure to answer correctly)

Q3. Please show the net present value calculation for the following plain vanilla interest rate swap.

Given Information

Interest rate swap:

Pay Leg Receive Leg
Notional CAD 100 million CAD 100 million
Effective Date 10/01/2021 10/01/2021
Maturity Date 10/01/2022 10/01/2022
Coupon 2% 3-month CDOR flat
Pay frequency Semi-Annual Semi-Annual*

*CDOR coupons are not compounded.

Rates:

Pay Date CDOR Float Discount Factor
01/01/2022 0.64 0.98
04/01/2022 0.68 0.96
07/01/2022 0.70 0.94
10/01/2022 0.76 0.92

Answer:

Please fill in the cash flow and PV for both legs.

Pay Date Pay Fixed Leg

Cash Flow

 Pay Fixed Leg PV Receive Floating Leg Cash Flow Receive Floating Leg

PV

 Net PV
04/01/2022
10/01/2022
Net PV of Swap
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