Pricing and Valuation of Interest Rate and Other Swaps

To which of the following is an interest rate swap considered equivalent?

What type of FRAs are used to replicate an interest rate swap?

A payer swap can be replicated by using a series of:

A receiver swap can be replicated by using a series of:

What characterizes an 'off-market' FRA?

The swap price is also known as the:

Which formula best represents the calculation of the Swap Price ($s_N$)?

What is the value of a plain vanilla interest rate swap at initiation?

The Swap Value at any given time after initiation is composed of:

Which component determines the 'Periodic Settlement Value' for the payer of the fixed rate?

If the Market Reference Rate (MRR) is 5 percent and the Swap Fixed Rate is 4 percent, what is the nature of the periodic settlement for the fixed-rate payer?

What does 'MRR' stand for in the context of swap settlement?

Given a notional of 1,000,000 EUR, a fixed swap rate of 3 percent, an MRR of 4 percent, and a period of 1 year, what is the settlement value for the fixed-rate payer?

Implied Forward Rates (IFRs) are derived from:

Mark-to-Market (MTM) Value of a swap reflects:

When calculating the par swap rate, the fixed leg is effectively treated as:

If interest rates rise after the initiation of a receiver swap (receiving fixed), what happens to the value of the swap for the receiver?

If a swap has a fixed rate of 4 percent and the MRR is 3 percent for a given period, which party makes the net payment?

The 'tenor' of a swap refers to:

In the swap price formula, what does 'PMT' represent?

What is the primary role of spot rates ($z_1, z_2...$) in swap pricing?

A swap with a fixed rate of 5 percent has a periodic settlement value of zero when:

In the replication of a swap using FRAs, why are the FRAs considered 'off-market'?

If the present value of the fixed leg exceeds the present value of the floating leg, the value of the swap to the fixed-rate payer is:

For a receiver swap (receives fixed, pays floating), the value is positive if:

Which factor is NOT explicitly required in the 'Swap Price' formula presented?

Calculate the net payment for a fixed-rate payer on a 10 million USD swap with semi-annual payments (0.5 year period), where MRR is 4 percent and Fixed Rate is 4.5 percent.

How is the 'Current Settlement Value' treated in the calculation of total Swap Value?

What implies that the fixed rate of a swap ($s_N$) is the 'Par Swap Rate'?

Which of the following describes the replication of a swap using FRAs?

If the term structure is flat at 5 percent (all spot rates are 5 percent), what is the swap fixed rate?

When calculating swap value, future floating cash flows are usually estimated using:

What happens to the value of a payer swap if the yield curve shifts downward?

The periodic settlement formula for a receiver of the fixed rate is:

Which of the following is true regarding the notional amount in an interest rate swap?

A 'Long' off-market FRA position effectively means:

How does the 'Period' factor affect the settlement payment?

If $z_1 = 5$ percent and $z_2 = 6$ percent, and the swap pays annual coupons for 2 years, the discount factor for the second cash flow is calculated as:

Which valuation approach is consistent with the 'Law of One Price'?

In the formula for Swap Price, the term 'PMT' is constant for:

If a swap is valued at zero at initiation, what must be true about the fixed and floating legs?

For a 1-year annual swap where the 1-year spot rate is 10 percent, what is the swap fixed rate?

The value of a swap changes over time due to:

Which term describes the net payment made on a settlement date?

If implied forward rates (IFRs) increase, the calculated par swap rate for a new swap would likely:

In a swap, the 'floating rate' is typically based on:

What is the key difference between a standard FRA and a swap settlement period?

If a 2-year swap has a fixed rate of 4 percent, and the 1-year spot rate is 4 percent, what does this imply about the 2-year spot rate?

Why is the fixed rate in a swap sometimes called a 'par' rate?

When calculating the payment on a swap, if the Period is 90 days and the convention is 360 days, the factor is: