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Basic Question 7 of 7
In an interest rate swap, the swap rate is the ______.
B. reference rate (e.g., LIBOR) used to calculate the floating rate
C. floating rate that the fixed-rate receiver agrees to pay over the life of the swap
D. spread between the fixed rate and floating rate. Both parties use the spread at the end of each period to calculate the net payment
A. fixed rate that the fixed-rate payer agrees to pay over the life of the swap
B. reference rate (e.g., LIBOR) used to calculate the floating rate
C. floating rate that the fixed-rate receiver agrees to pay over the life of the swap
D. spread between the fixed rate and floating rate. Both parties use the spread at the end of each period to calculate the net payment
User Contributed Comments 1
| User | Comment |
|---|---|
| americade | the swap rate = the fixed payer contract rate |
I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
describe how interest rate swaps are priced, and calculate and interpret their no-arbitrage value;
CFA® 2025 Level II Curriculum, Volume 5, Module 31.