Daniel26
New Member
Hey,
in the Products Focus Review there is a question given Swap rates and you have to calcuate the 2y forward rate starting in 3y.
Swaprate 1y = 3,5%
2y = 4%
3y = 4,5%
4y = 5%
5y = 5,5%
Why don't we need to bootstrap the curve in a first step? My point is that a swap rate is paying the coupon once a year and therefore not appropriate for creating a fwd curve ? This is because you can reinvest the coupons @ the fwd rate.
Another problem is that they dont give us comp. frequency as well (but David already mentioned that in the video...).
thx
in the Products Focus Review there is a question given Swap rates and you have to calcuate the 2y forward rate starting in 3y.
Swaprate 1y = 3,5%
2y = 4%
3y = 4,5%
4y = 5%
5y = 5,5%
Why don't we need to bootstrap the curve in a first step? My point is that a swap rate is paying the coupon once a year and therefore not appropriate for creating a fwd curve ? This is because you can reinvest the coupons @ the fwd rate.
Another problem is that they dont give us comp. frequency as well (but David already mentioned that in the video...).
thx
