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 28

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

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 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: