Interest Rate Swap & Bootstrapping
involve the exchange of a fixed interest rate for a floating rate, or vice versa.

one million
Fixed (Pay)
Float (Receive)
Curve Settings
Reset
Effective Date Expiry Date Pay Date Pay Amount Discount Rate Present Value
term years rate(%)
bzday
Effective Date Expiry Date Pay Date Pay Amount Discount Rate Present Value
term years rate(%)
Money Market
Term Rate
FR001 2.200
FR007 2.400
FR014 2.800
Future/FRA
Term Rate
Swap Market
Term Bid
1M 2.399
3M 2.3963
6M 2.4450
9M 2.4800
1Y 2.5125
2Y 2.6250
3Y 2.7239
4Y 2.8075
5Y 2.8825
7Y 2.9900
10Y 3.1300
bootstrapping result
term years rate(%)