Workspace /E5 Interest Rate Swaps
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…