SWAP VALUATION -FRA

[Rohit]

Hi,

Trying to understand how to value swap using FRA. In the notes we first calculate continuous fwd rate using the hull equation then convert to semi-annual fwd rate (continuous to discrete formula). Why do we do this?

Also, if anyone can explain to me in clear and simple words the different methods/equation to calculate fwd rates it would help me a lot...this is very confusing

 

[Nicole Seaman]

Hi,

Trying to understand how to value swap using FRA. In the notes we first calculate continuous fwd rate using the hull equation then convert to semi-annual fwd rate (continuous to discrete formula). Why do we do this?

Also, if anyone can explain to me in clear and simple words the different methods/equation to calculate fwd rates it would help me a lot...this is very confusing

Hello @Rohit

You may find this thread that @ShaktiRathore created helpful: https://forum.bionicturtle.com/threads/swaps.6221/#post-19813

Nicole