Hi,
Haven't touched IRS or DCF since college so I'm a bit rusty. Would somebody be able to help me with this please? I can't imagine it will take longer than 5 minutes, but I can't quite remember if I'm doing it right.
For the following deal, what's the MTM & Delta?
General Swap Details
CCY EUR
Notional 19,550,000
Effective Date 25/10/2015
Tenor 5 years
Payment Frequency Quarterly
Fixed Amounts
Fixed Rate Payer Client
Fixed Rate 0.638%
Day Count Fraction 30/360
Floating Amounts
Floating Rate Payer B
Floating Rate Index 3m EURIBOR
Day Count Fraction Act/360
Projection Market Data
Date 3m Euribor
25/10/2015 -0.0530
25/01/2016 -0.1460
25/04/2016 -0.2490
25/07/2016 -0.2629
25/10/2016 -0.2720
25/01/2017 -0.2867
25/04/2017 -0.2831
25/07/2017 -0.2806
25/10/2017 -0.2697
25/01/2018 -0.2533
25/04/2018 -0.2307
25/07/2018 -0.2010
25/10/2018 -0.1668
25/01/2019 -0.1287
25/04/2019 -0.0870
25/07/2019 -0.0329
25/10/2019 0.0178
25/01/2020 0.0703
25/04/2020 0.1238
25/07/2020 0.1826
Thanks so much in advance,
TSB