Maturity (Yrs)

13/Jul/15

14/Jul/15

14-Jul-15

0.0

7.41

7.40

0.074

14-Jan-16
14-Jul-16
14-Jan-17
14-Jul-17
14-Jan-18
14-Jul-18
14-Jan-19
14-Jul-19
14-Jan-20
14-Jul-20
14-Jan-21
14-Jul-21
14-Jan-22
14-Jul-22
14-Jan-23
14-Jul-23
14-Jan-24
14-Jul-24
14-Jan-25
14-Jul-25
14-Jan-26
14-Jul-26
14-Jan-27
14-Jul-27
14-Jan-28
14-Jul-28
14-Jan-29
14-Jul-29
14-Jan-30
14-Jul-30
14-Jan-31
14-Jul-31
14-Jan-32
14-Jul-32
14-Jan-33
14-Jul-33
14-Jan-34
14-Jul-34
14-Jan-35
14-Jul-35
14-Jan-36

0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
18.0
18.5
19.0
19.5
20.0
20.5

7.39
7.44
7.52
7.61
7.68
7.75
7.81
7.85
7.88
7.91
7.93
7.95
7.96
7.97
7.98
7.98
7.99
7.99
7.99
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00

7.35
7.41
7.50
7.59
7.68
7.75
7.80
7.85
7.88
7.91
7.93
7.94
7.95
7.96
7.97
7.97
7.98
7.98
7.99
7.99
7.99
7.99
7.99
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01

0.073549
0.0741
0.075003
0.075943
0.076785
0.077487
0.078047
0.078483
0.078817
0.079072
0.079265
0.079413
0.079526
0.079614
0.079683
0.079738
0.079783
0.07982
0.079851
0.079878
0.079901
0.079922
0.07994
0.079956
0.079971
0.079984
0.079997
0.080008
0.080019
0.080029
0.080038
0.080047
0.080055
0.080062
0.08007
0.080076
0.080083
0.080089
0.080095
0.0801
0.080105

14-Jul-36
14-Jan-37
14-Jul-37
14-Jan-38
14-Jul-38
14-Jan-39
14-Jul-39
14-Jan-40
14-Jul-40
14-Jan-41
14-Jul-41
14-Jan-42
14-Jul-42
14-Jan-43
14-Jul-43
14-Jan-44
14-Jul-44
14-Jan-45
14-Jul-45

21.0
21.5
22.0
22.5
23.0
23.5
24.0
24.5
25.0
25.5
26.0
26.5
27.0
27.5
28.0
28.5
29.0
29.5
30.0

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00

8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.01
8.02
8.02
8.02
8.02
8.02
8.02
8.02
8.02

0.08011
0.080115
0.080119
0.080124
0.080128
0.080132
0.080136
0.080139
0.080143
0.080146
0.080149
0.080152
0.080155
0.080158
0.080161
0.080164
0.080166
0.080169
0.080171

Price a 3 year swap with half yearly CFs

Rates
CF
14-Jul-15
14-Jan-16
0.0735493 0.037082
14-Jul-16 0.07465694 0.037224
14-Jan-17 0.07680022 0.038722
14-Jul-17 0.07880219 0.039071
14-Jan-18 0.08013581 0.040404
14-Jul-18 0.08103643 0.040179

Disc FactPV=CF*DF
0.964243
0.929638
0.894983
0.86133
0.82788
0.795902

0.035757
0.034605
0.034655
0.033653
0.03345
0.031978
0.2041

using
(1+r6m/2)^(
2*1/2)*(1+F
RA/2)^(2*1/
2)=(1+r12m
/2)^(2*1)

both PVs should be same so us

goal seek to change the fix rat

Price a 6 year FRA with annual CFs

14-Jul-15
14-Jul-16
14-Jul-17
14-Jul-18
14-Jul-19
14-Jul-20
14-Jul-21

Rates

CF

0.074
0.07410002
0.07779273
0.08058237
0.08147654
0.08142503
0.08112075

0.075687
0.079306
0.082206
0.083136
0.083319
0.082766

Disc FactPV=CF*DF

0.929638
0.86133
0.795902
0.734813
0.678297
0.626449

0.070362
0.068308
0.065428
0.06109
0.056515
0.051849
0.373551

Fix rate
0.07731
Fixed CF PV Fix CF
0.0389786
0.0385469
0.0389786
0.0383311
0.0389786
0.0383311

0.037585
0.035835
0.034885
0.033016
0.03227
0.030508
0.2041

both PVs should be same so use

goal seek to change the fix rate

Fix rate

0.079200

Fixed CF PV Fix CF

0.0809982
0.0807682
0.0807682
0.0807682
0.0809982
0.0807682

0.075299
0.069568
0.064284
0.059349
0.054941
0.050597
0.374038