Interest Rate Swaps Explained | Example Calculation

Hi Ryan, were the covariance right? The diagonal of the covariance, not close to zero

Many thanks for the video

Can you elaborate on your point about the float side? Why only a single cash flow?

"Received whole cash flow .5 years in the future. No cash flows beyond that bc it's a floating rate bond that reprices itself itself back to par at every coupon date." Sorry, I'm not clear on this, if it's semiannual payments and it's a 2 year instrument, why aren't there more payments?

Amazing

Please can you clarify can we value the floating part based on the tbill yield curve for each period (6 month fixed) thus we bring the pv and summed like fixed rate. Thanks a lot

hi Ryan, can you please make a video on how to calculate VAR for IRS and CDS.

This is excellent! thanks for sharing the file as well. Really appreciate your efforts.

Should the price difference be zero?

Hi Ryan,
great stuff thank you very much. One thing i always wondered how it worked in practice as opposed to in theory is the yield curve and interest rates to use. How a swap works in theory is completely clear to me (i got my CFA charter in February so that helps haha). I work in real estate and i was given the task to value a swap that is hedging a variable rate loan on a property. the floating payer pays 3M EURIBOR, while the fixed payer pays 0,208% with a maturity to 30th Sept 2024. And that is where it gets unclear to me. EURIBOR curve does not extend until that maturity, since max maturity is 12M. so i got 1M, 3M, 6M and 12M EURIBOR. So the EURIBOR forward curve determines the future floating payments, so far so good. but what rate do i use to discount those future payments? i cant use forward rates to discount and i have no spot rates above 12M. pls help and sorry for the long message! cheers all the best
L.

Hey Ryan, don't really understand why is there only 1 cashflow for Floating rate bond? How does the floating rate bond resets at par every coupon date relate to the cashflow stream?

Great content, Ryan! And thanks for sharing the excel file. :-)

I can't believe there is just 4.3K subscribers... this channel will grow! Excellent content!

Found your channel through reddit's CFA page, love all your content. Short and to the point.

Informative video like always. Want to understand more about currency and equity swap via numerical examples.