>
|
|
First set the global evaluation date.
>
|
|
>
|
|
| (1) |
Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2007 and January 3, 2010. The second one consists of payments of 3% of the nominal every quarter between January 3, 2006 and January 3, 2010.
>
|
|
| (2) |
>
|
|
| (3) |
>
|
|
| (4) |
>
|
|
| (5) |
Consider two simple swaps that exchange the first set of payments for the second set.
>
|
|
| (6) |
>
|
|
| (7) |
Here is the set of cash flows for the paying leg of each swap.
>
|
|
| (8) |
>
|
|
| (9) |
Here is the set of cash flows for the receiving leg.
>
|
|
| (10) |
>
|
|
| (11) |
>
|
|
| (12) |
>
|
|
| (13) |