URGENT - Easy IRS DCF Question Help

[Gareth Hughes]

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, please could you help me work out 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

 

[Gareth Hughes]

I'm required to answer this question by the end of the ay so would really really appreciate any responses, my mind has gone compeltely blank with the negative Euribor stuff which has thrown me.
Thank you very much!

 

[pingu]

I'm required to answer this question by the end of the ay so would really really appreciate any responses, my mind has gone compeltely blank with the negative Euribor stuff which has thrown me.
Thank you very much!

How much are you willing to pay?

 

[Gareth Hughes]

Nothing - I'm trying to help a friend of mine with an assignment question. I was just hoping that somebody would be kind enough to assist.

 

[pingu]

Nothing - I'm trying to help a friend of mine with an assignment question. I was just hoping that somebody would be kind enough to assist.

How much is your friend willing to pay?

 

[DavidS]

If you want to know how to value a swap in real-world. I find this link is very helpful.
FinPricing - Pricing interest rate swap, pricing interest rate basis swap, pricing amortizing swap, pricing accreting swap, pricing average swap, interest rate swap valuation model

 

[Daniel Duffy]

How much is your friend willing to pay?

It could be a friend of a friend

 

[Daniel Duffy]

Nothing - I'm trying to help a friend of mine with an assignment question. I was just hoping that somebody would be kind enough to assist.

How much are you charging :D

Seriously tho' QN is not a 'help me with my homework' site.