E5
Interest Rate Swaps
Price a plain-vanilla fixed–floating swap or value one already on the books, split it into a bond and a floating-rate note, and test it under rate moves, including real ones replayed from stored Treasury curves.
Learning focus: a receive-fixed swap is a long fixed-rate bond funded with a short FRN, so it adds duration without spending cash; paying fixed takes duration away.
Swap
%
bp
y
%
Legs and dates
A SOFR swap pays both legs annually on ACT/360.
Curve
bp
Loading the Treasury curve…
Loading the Treasury curve…