b********1
发帖数: 114 | 1 5 year swap rate is 5%, 10 yr swap rate is 6%,both are par rate.
what's the 5 by 5 year forward swap rate?
any idea? | c**s
发帖数: 67 | 2 (1+6%)^10=(1+5%)^5*(1+r)^5
【在 b********1 的大作中提到】
: 5 year swap rate is 5%, 10 yr swap rate is 6%,both are par rate.
: what's the 5 by 5 year forward swap rate?
: any idea?
| b********1
发帖数: 114 | 3 That would be 7%. you sure about that?
【在 c**s 的大作中提到】
: (1+6%)^10=(1+5%)^5*(1+r)^5
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