Calculating Swap Rate using a calculator ?

[HedgeFudge]

Hey guys ,
Just started with the fixed income readings ( hateing it ! never liked FI) , and came across the LOS on swa rate curve , where we can clculate the Swap Fixed rate using the formula :
ΣSFR/(1+s)+ 1/(1/s) …. to the power of T .
now the question here is , is ther a way to do it using a calc ?
Regards
Fudge

 

[S2000magician]

I’m not sure where you got that formula. And there’s a typo.
Take a look at the article I wrote on valuing plain vanilla interest rate swaps: http://financialexamhelp123.com/pricing-plain-vanilla-interest-rate-swaps/
Note that they’ll most likely give you the present value factors on the exam.

 

[HedgeFudge]

Thanks S2000 , I havent really reached swpas reading (rather skipped it for now ) . Came across this in valuation of Fied income in the reading on term structure and intrest rate dynamics .
in that we have an LOS on swap spread and swpa curve/swpa yeild curve .
Anywyas , I went through ur site , as usual . its awesome ! finally understood the concept more clearly .
regarding the PV of the swap rates . well as of now , i am fully confused , just started serious preperation 1-2 days back , i guess ill know only once i start solving the sums .
Thanks as always ,
Jai

 

[S2000magician]

You’re quite welcome.

 

[JayWill]

S2000magician wrote:
Note that they’ll most likely give you the present value factors on the exam.

Yet the practice problems in the curriculum make you crank them out, usually with no less than 4 rates, both for the fixed rate at initiation and value at a future point in time. I mean, I get it, practice helps reinforce the theory and method of calculation, but man, that’s a lot of writing and button presses just for practice. Anyhoo, a bit of venting since I happen to be working on the swaps reading right now and spent 3 hours just on practice problems 1-5 this morning heh.

 

[Anand Singh]

the correct formula for fixed rate in swaps is
(1-Dn) / (D1 + D2 + … Dn)
Where Di is the discount factor