Swap Equilibrium MBACalculator.com について・・・
MBACalculator.com Solving for the swap price
FRA is a forward contract and specifies an interest rate to be paid on an obligation beginning on some future date. Any gain or loss on the contract is treated as a similar gain or loss on futures or options contracts of would. Please refer to the FRA spreadsheet for information on a forward rate calculations.
The forward rates are also known as the implied forward rates, are calculated using a process known as bootstrapping. The concept of bootstrapping this simple, an investor can invest in a six-month LIBOR and earned 4.25 percent. Alternatively the investor if can also invest in the spot market 4.10 percent for 3 months and then reinvest the money for additional three months. With both of these choices the lesser choice would have to rise to provide a comparable return to the preferred investment. If the market expects both investments to be equal with the return than we can solve to be implied forward rate.
We need to calculate the discount factor for the present value of the floating rate and the present value of the fixed rate in order to calculate the swap price. The swap price is also known as the equilibrium fixed rate price. To calculate the discount factor we use the percentages that are highlighted in yellow not the forward rates highlighted in green.
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