Page 14 - FINAL CFA II SLIDES JUNE 2019 DAY 9
P. 14
LOS 34.f: Explain the swap rate curve and why READING 34: THE TERM STRUCTURE AND
and how market participants use it in valuation. INTEREST RATE DYNAMICS
MODULE 34.3: THE SWAP RATE CURVE
EXAMPLE: Swap rate curve: Given the following LIBOR spot rate curve, compute the swap fixed rate for a tenor of 1, 2, and
3 years (i.e., compute the swap rate curve).
Swap
rates
3%
3.98%
4.93%
