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- edgetrading
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Swap valuation question
I am working through the document here: http://www.cfapubs.org/doi/pdf/10.2470/ ... 4.4453.5On page 63 (3rd page of the document) they assume that the fraction of the year represented by each period is 90/360=1/4. Why do they do that instead of using (days in period/360)? If I wanted to price a swap one day after it has been created, what do I do? Use the day count?
Last edited by edgetrading on August 3rd, 2013, 10:00 pm, edited 1 time in total.
Swap valuation question
The author explicitly assumes that the fixed rate is quoted on a 30/360 basis (in line with current market convention) and is paid quarterly (not the current standard convention). I am curious why you choose to study an 18-year old treatise on the risk of swaps, given that there have been one or two developments in this particular area in the intervening years.
Last edited by bearish on August 3rd, 2013, 10:00 pm, edited 1 time in total.
