Interest rate swap — concept

About this app

Fixed versus floating on a notional that never changes hands: cash-flow bars show the constant fixed leg against the rising forwards; par rate and fixed rate K sit as lines in the same picture (“€ per 100 notional = % rate”). “Set to par” makes the exchange exactly fair (NPV 0). Debunks “the fair fixed rate is today’s rate”.

Subject: Financial derivatives

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