Hi, I was wondering what is the easiest way to solve for swap rate using BA II Plus.
Simple example:
Spot rate with maturity 1 equals 5%
Spot rate with maturity 2 equals 6%
These rates are also used as discount factors and floating rates for swap in periods 1 and 2. Let’s assume swap is paying annual payment. How to solve for fixed rate most efficiently with BA II Plus? Any ideas? Thanks.
Simple example:
Spot rate with maturity 1 equals 5%
Spot rate with maturity 2 equals 6%
These rates are also used as discount factors and floating rates for swap in periods 1 and 2. Let’s assume swap is paying annual payment. How to solve for fixed rate most efficiently with BA II Plus? Any ideas? Thanks.