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?

Question 12

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

Question 13

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?

Question 14

Implied Forward Rates (IFRs) are derived from:

Question 15

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

Question 16

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

Question 17

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

Question 18

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?

Question 19

The 'tenor' of a swap refers to:

Question 20

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

Question 21

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

Question 22

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

Question 23

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

Question 24

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:

Question 25

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

Question 26

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

Question 27

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.

Question 29

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

Question 30

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

Question 31

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

Question 32

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

Question 33

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

Question 34

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

Question 35

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

Question 36

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

Question 37

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

Question 38

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:

Question 39

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

Question 40

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

Question 41

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

Question 42

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

Question 43

The value of a swap changes over time due to:

Question 44

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

Question 45

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

Question 46

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

Question 47

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

Question 48

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?

Question 49

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

Question 50

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