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CFA Level II Updated
Walk me through the full mark-to-market swap valuation process.
MTM valuation: build OIS curve, project floating CFs, discount both legs, net. Morven's $75M pay-fixed swap shows +$0.53M value posted as variation margin daily...
How do I calculate the termination value of an interest rate swap before maturity?
Termination value = PV(remaining fixed leg) - PV(remaining floating leg). Example: Lantara Capital's 3.80% receive-fixed swap unwinds at $1.27M gain when rates fall to 2.90%...
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