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Currency Interest Rate Swap Data for PLN: WIBOR6M: 4,60%, FRA6v12: 4,70-4,80%, FRA12v18: 4,85-4,95%, FRA18v24: 4,90-5,00%; number of days in consecutive 6M periods: 181, 184, 182,
Currency Interest Rate Swap
Data for PLN: WIBOR6M: 4,60%, FRA6v12: 4,70-4,80%, FRA12v18: 4,85-4,95%, FRA18v24: 4,90-5,00%; number of days in consecutive 6M periods: 181, 184, 182, 184; basis = Actual/365. Data for USD: LIBOR6M: 4,70%, term rates for consecutive 6M periods: 4,80%, 4,95%, 4,85%; basis: 30U/360. Spot rate PLN/USD = 3,2580.
Price 2Y CIRS LIBOR6M w USD vs. PLN annual fixed. If CIRS 2Y is quoted: 4,65-4,75%, has the CIRS negative present value, for which party (buyer or seller), and how much is that negative present value?
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