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Ronnie36
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Posts: 5
Joined: February 11th, 2015, 8:53 am

IR Swaps Break Even Rate

August 13th, 2015, 2:55 pm

Hello All, I have a question Im hoping someone can help me on!Im comparing the Swaps Break Even rate on two different systems. However, one system provides a rate which includes the accrual on the fixed and floating side and one system doesn't include the accrual. Therefore Im not comparing like for like.For example, System 1 Gives me a B/E Rate of 3.14% for a HUF vanilla swap and System 2 gives me 3.17%. However System 1 Includes 10M HUF worth of accrual in the calculation and system 2 does not (it only has all future cash flows). So, can I make an adjustment to one of the systems B/E rates so Im comparing like for like. I have the Notional, DV01 and the Accruals number handy so can I essentially adjust the B/E rate to give me a like for like compare. Right now its apples v oranges so want to get it to apples v applesI hope this makes sense, any advice is duly appreciated!!Thank you in advance!
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