Details:

The necessary Market data (interest rates, cap and swaption vol) is provided in the csv files on the Moodle assignment page Today's date is January 15th 2007 and, to finance an investment project, a company entered into a floating rate loan agreement with the following details:

Notional: EUR 1,748,653.15

Start: 19-01-2007

Maturity: 19-01-2022

Interest: Euribor 6M, half-yearly, act/360, modified following, adjusted

Exercise 1: 1. What are the estimated cash flows of this loan on the 15th of January of 2007?

Forward Rates calculation out of FRAs for swaps valuation. PV

Basically I have interest rates (part of if, as it goes daily until dec-18th 2020) and I need to get the forward rates out of them in order to calculate the discount factors and get the PV of the Swap. I already have the summary table but I am only missing the fwds. I know that fwds can be obtained by boostrapping the spot rates of the swaps. The issue is that I do not know which are the spot rates (it must be a combination of column and dates from the market table.

I already build the table and added the first fwd which is equal a 6M deposit on 2007-01-19. My doubts come to which numbers to use from the interest rates table.

Start	End	Notional	dcf	fwd	cf	df	pv
2007-01-19	2007-07-19	1,748,653.15	0.5027777778	0.03888	34,182.67178	0.9808267978	33527.2805
2007-07-19	2008-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2008-01-19	2008-07-19	1,748,653.15	0.5055555556		1,748,653.15000	1	1748653.15
2008-07-19	2009-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2009-01-19	2009-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2009-07-19	2010-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2010-01-19	2010-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2010-07-19	2011-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2011-01-19	2011-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2011-07-19	2012-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2012-01-19	2012-07-19	1,748,653.15	0.5055555556		1,748,653.15000	1	1748653.15
2012-07-19	2013-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2013-01-19	2013-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2013-07-19	2014-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2014-01-19	2014-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2014-07-19	2015-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2015-01-19	2015-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2015-07-19	2016-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2016-01-19	2016-07-19	1,748,653.15	0.5055555556		1,748,653.15000	1	1748653.15
2016-07-19	2017-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2017-01-19	2017-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2017-07-19	2018-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2018-01-19	2018-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2018-07-19	2019-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2019-01-19	2019-07-19	1,748,653.15	0.5027777778		1,748,653.15000	1	1748653.15
2019-07-19	2020-01-19	1,748,653.15	0.5111111111		1,748,653.15000	1	1748653.15
2020-01-19	2020-07-19	1,748,653.15	0.5055555556		1,748,653.15000	1	1748653.15

interest rates table: .. columns goes until 2020-18-12. by comparing the end dates from my summary table and the dates (adjusted following) I can identify the row but which column to use? HOW FRA can be converted to Forward rates? Thanks in advance. I just need to understand the mechanics.

	Deposit 6M	FRA 1X7	FRA 2X8	FRA 3X9	FRA 4X10	FRA 5X11	FRA 6X12	FRA 7X13	FRA 8X14	FRA 9X15	FRA 10X16	FRA 11X17	FRA 12X18	Swap 2Y	Swap 3Y	Swap 4Y	Swap 5Y	Swap 6Y	Swap 7Y	Swap 8Y	Swap 9Y	Swap 10Y	Swap 11Y	Swap 12Y	Swap 15Y	Swap 20Y	Swap 25Y	Swap 30Y	Swap 40Y	Swap 50Y
1/2/2007	3.857	3.9285	3.977	4.0155	4.0455	4.0755	4.0975	4.0965	4.101	4.1005	4.0915	4.0795	4.069	4.1075	4.1065	4.094	4.092	4.1055	4.1175	4.1335	4.152	4.172	4.187	4.206	4.2445	4.284	4.275	4.259	4.216	4.174
1/3/2007	3.86	3.917	3.972	4.0145	4.041	4.067	4.082	4.087	4.092	4.089	4.08	4.071	4.0505	4.0985	4.0955	4.095	4.095	4.103	4.1155	4.1325	4.1505	4.1715	4.1885	4.2045	4.258	4.2845	4.295	4.2635	4.2205	4.1785
1/4/2007	3.865	3.9315	3.9865	4.0225	4.0435	4.072	4.0915	4.0975	4.1025	4.0985	4.091	4.081	4.0565	4.1075	4.0995	4.095	4.094	4.099	4.111	4.1255	4.1445	4.1625	4.1815	4.1985	4.2455	4.2755	4.278	4.2565	4.2145	4.1725
1/5/2007	3.864	3.9415	3.995	4.041	4.071	4.095	4.122	4.1305	4.1365	4.1325	4.1275	4.1195	4.0975	4.1345	4.1355	4.131	4.134	4.1405	4.1525	4.1695	4.1875	4.2055	4.2235	4.2405	4.2885	4.3175	4.329	4.297	4.255	4.215
1/8/2007	3.874	3.9435	4.0015	4.0435	4.0695	4.0985	4.1225	4.1215	4.1275	4.1235	4.1175	4.1075	4.0915	4.1305	4.1275	4.1255	4.1275	4.136	4.1485	4.1665	4.186	4.206	4.226	4.242	4.2885	4.32	4.321	4.3	4.259	4.22