Question
Forward starting swaps Use the spot swap rates listed below to answer the following questions on forward swap rates: 1. Where would you price
1. Where would you price a 2-year swap starting 2-years from now given the spot rates shown?
2. The current spot spread between 10-year and 2-year swaps (aka 2s/10s swap curve) is 150 basis points. Where does the market expect the spread between 10- year and 2-year swaps to be 2-years from now?
Term 2y 3y 4 Sy 7y 10y 12y Rate(%) 2.35 2.49 2.57 2.64 2.73 2.83 2.87
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