September 1st, 2004, 8:49 am
I haven't used FinCad, but in terms of (theorical) pricing the frequency used for the floating leg of a swap is of no importance. So I'd say that if FinCad only has one frequency, it's the frequency of the fixed leg! (in the real world the price of two swaps with same fixed frequency and different floating leg frequencies will be slightly different, but it's determined by market dynamics, basis, liquidity reasons, and other reasons I haven't yet understood ...)gc