|
From: Jens T. <jen...@st...> - 2002-06-19 16:01:27
|
Hello, I have some problem here: I take the swapvaluation example and assume: - termstructure with constant 4% rates - 2 year swap, 4% fixed rate, spread 0.0 and get the following results: *** 2Y swap at 4.00% *** using constant 4% structure: 2Y 4.00% NPV: 2346.70 2Y 4.00% fair spread: 0.1228% 2Y fair fixed rate: 3.8760% Can somebody explain that to me? We are also getting "weird" results from the term structures. Jens. |