Forward starting swaps Use the spot swap rates listed below to answer the following questions on forward
Fantastic news! We've Found the answer you've been seeking!
Question:
1. Where would you price a 2-year swap starting 2-years from now given the spot rates shown?
2. The current spot spread between 10-year and 2-year swaps (aka 2s/10s swap curve) is 150 basis points. Where does the market expect the spread between 10- year and 2-year swaps to be 2-years from now?
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date: