Evaluating Derivatives―Part III: Economic Value as Rates Change Instantly
This blog will begin to review the economic value of a swap when testing an instantaneous rate change. This builds on the blog Evaluating Derivatives—Part II: Economic Value. As before, the example swap has the following terms: 7-year term Notional amount: $100 million Credit union pays fixed rate of 2.00% Credit union receives 3-month LIBOR […]