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forward start interest rate swap
Hi ,Please enlighten me in how would you calculate DV01 of a forward start interest rate swap that pay fixed and receive float and will start in 6 months time? Is DV01 of this swap equals to the DV01 of the pay side? Thank you.RgdsLoner
forward start interest rate swap
The DV01 of a fixed for floating, forward-starting swap can be decomposed into the DV01 of an equivalent forward-starting fixed rate bond less the time to the 1st reset on the floating side. If you do a search in these forums you should find the topic discussed in more detail.