Term Unit Ticker Bid Ask MID Bid Spr ValAsk Spr ValFinal Bid R

Fixing euribor3m MO EUR003M 2.607 2.607 2.607 0 0 2.607

1x4 MO EUFR0AD 2.918 2.938 2.928 0 0 2.918
2x5 MO EUFR0BE 3.158 3.162 3.16 0 0 3.158
3x6 MO EUFR0CF 3.513 3.533 3.523 0 0 3.513
4x7 MO EUFR0DG 3.446 3.45 3.448 0 0 3.446
5x8 MO EUFR0EH 3.473 3.523 3.498 0 0 3.473
6x9 MO EUFR0FI 3.497 3.547 3.522 0 0 3.497
7x10 MO EUFR0GJ 3.516 3.517 3.5165 0 0 3.516
8x11 MO EUFR0HK 3.483 3.503 3.493 0 0 3.483
9x12 MO EUFR0I1 3.447 3.497 3.472 0 0 3.447
10x13 MO EUFR0J1A 3.403 3.453 3.428 0 0 3.403
11x14 MO EUFR0K1B 3.332 3.382 3.357 0 0 3.332
12x15 MO EUFR011C 3.285 3.305 3.295 0 0 3.285
15x18 MO EUFR1C1F 3.102 3.121 3.1115 0 0 3.102
18x24 MO EUFR1F1I 2.846 2.865 2.8555 0 0 2.846
3 YR EUSW3V3 2.999807 3.017193 3.0085 0 0 2.999807
4 YR EUSW4V3 2.884272 2.895728 2.89 0 0 2.884272
5 YR EUSW5V3 2.820003 2.828497 2.82425 0 0 2.820003
6 YR EUSW6V3 2.786971 2.795028 2.791 0 0 2.786971
7 YR EUSW7V3 2.771899 2.781001 2.77645 0 0 2.771899
8 YR EUSW8V3 2.773676 2.782324 2.778 0 0 2.773676
9 YR EUSW9V3 2.785579 2.79442 2.789999 0 0 2.785579
10 YR EUSW10V3 2.804151 2.812049 2.8081 0 0 2.804151
11 YR EUSW11V3 2.821864 2.830636 2.82625 0 0 2.821864
12 YR EUSW12V3 2.837492 2.846608 2.84205 0 0 2.837492
15 YR EUSW15V3 2.846769 2.856631 2.8517 0 0 2.846769
20 YR EUSW20V3 2.724792 2.734709 2.729751 0 0 2.724792
25 YR EUSW25V3 2.561558 2.572442 2.567 0 0 2.561558
30 YR EUSW30V3 2.415859 2.426741 2.4213 0 0 2.415859
35 YR EUSW35V3 2.292818 2.332182 2.3125 0 0 2.292818
40 YR EUSW40V3 2.196294 2.244306 2.2203 0 0 2.196294
50 YR EUSW50V3 2.051611 2.069989 2.0608 0 0 2.051611
Final Ask RRate Type Daycount Freq Curve date
2.607 Cash RatesACT/360 0 Fixing 2/9/2023
2.938 Serial FRAsACT/360 0 FRA 3x6 2/9/2023
3.162 Serial FRAsACT/360 0
3.533 Serial FRAsACT/360 0
3.45 Serial FRAsACT/360 0 (1+ r6m *t) = (1+ r3m *t) x (1 + r3x6 *t)
3.523 Serial FRAsACT/360 0
3.547 Serial FRAsACT/360 0 1.015554
3.517 Serial FRAsACT/360 0
3.503 Serial FRAsACT/360 0
3.497 Serial FRAsACT/360 0
3.453 Serial FRAsACT/360 0
3.382 Serial FRAsACT/360 0
 3.305 Serial FRAsACT/360 0
3.121 Serial FRAsACT/360 0
2.865 Serial FRAsACT/360 0
3.017193 Swap Rates30U/360 1
2.895728 Swap Rates30U/360 1
2.828497 Swap Rates30U/360 1
2.795028 Swap Rates30U/360 1
2.781001 Swap Rates30U/360 1
2.782324 Swap Rates30U/360 1
2.79442 Swap Rates30U/360 1
2.812049 Swap Rates30U/360 1
2.830636 Swap Rates30U/360 1
2.846608 Swap Rates30U/360 1
2.856631 Swap Rates30U/360 1
2.734709 Swap Rates30U/360 1
2.572442 Swap Rates30U/360 1
2.426741 Swap Rates30U/360 1
2.332182 Swap Rates30U/360 1
2.244306 Swap Rates30U/360 1
2.069989 Swap Rates30U/360 1
 Start date End date Mid price Year Fracc DF 1+rxt
2/13/2023 ### 2.60700% 0.252777777777778 0.993453 1.00659
5/15/2023 ### 3.52300% 0.252777777777778 0.991173 1.008905
0.505555555555556

(1+ r6m *t) = (1+ r3m *t) x (1 + r3x6 *t)

Value of 6 month implied deposit Check for FRA computation
3.077% 0.984684 3.523%
Is not the EURIBOR6M
Term Unit Ticker Bid Ask MID Bid Spr Val Ask Spr Val
6M MO EUR006M 3.103 3.103 3.103 0 0
1x7 MO EUFR0AG 3.3011031151 3.3178970814 3.3095000982 0 0
2x8 MO EUFR0BH 3.4109990597 3.4330010414 3.4220000505 0 0
3x9 MO EUFR0CI 3.5285160542 3.5554840565 3.5420000553 0 0
4x10 MO EUFR0DJ 3.5910060406 3.6129939556 3.6019999981 0 0
5x11 MO EUFR0EK 3.6012079716 3.626791954 3.6139999628 0 0
6x12 MO EUFR0F1 3.6309540272 3.6350460052 3.6330000162 0 0
9x15 MO EUFR0I1C 3.5009739399 3.5210249424 3.5109994411 0 0
12x18 MO EUFR011F 3.3369550705 3.3570449352 3.3470000029 0 0
2 YR EUSA2 3.2930369377 3.3329629898 3.3129999638 0 0
3 YR EUSA3 3.1072049141 3.1267950535 3.1169999838 0 0
4 YR EUSA4 2.9927539825 3.0027461052 2.9977500439 0 0
 5 YR EUSA5 2.9234099388 2.9310889244 2.9272494316 0 0
6 YR EUSA6 2.8919539452 2.8992459774 2.8955999613 0 0
7 YR EUSA7 2.8549230099 2.8620769978 2.8585000038 0 0
8 YR EUSA8 2.8465499878 2.8534491062 2.849999547 0 0
9 YR EUSA9 2.8444359303 2.8513629436 2.847899437 0 0
10 YR EUSA10 2.8475990295 2.8544020653 2.8510005474 0 0
11 YR EUSA11 2.8737690449 2.88063097 2.8772000074 0 0
12 YR EUSA12 2.8751320839 2.8823680878 2.8787500858 0 0
15 YR EUSA15 2.8498740196 2.8571259975 2.8535000086 0 0
20 YR EUSA20 2.6889750957 2.7086250782 2.698800087 0 0
25 YR EUSA25 2.4897019863 2.5122981071 2.5010000467 0 0
30 YR EUSA30 2.3284170628 2.3615820408 2.3449995518 0 0
40 YR EUSA40 2.1258869171 2.1407139301 2.1333004236 0 0
50 YR EUSA50 1.9421180487 1.956882 1.9495000243 0 0
Final Bid Rate Final Ask Rate Rate Type Daycount Freq
3.103 3.103 Cash Rates ACT/360 0 Fixing
3.30110311508 3.31789708138 Serial FRAs ACT/360 0 FRA 6x12
3.41099905968 3.43300104141 Serial FRAs ACT/360 0
3.52851605415 3.55548405647 Serial FRAs ACT/360 0
3.59100604057 3.61299395561 Serial FRAs ACT/360 0
3.60120797157 3.62679195404 Serial FRAs ACT/360 0
3.63095402718 3.63504600525 Serial FRAs ACT/360 0
3.5009739399 3.5210249424 Serial FRAs ACT/360 0
3.3369550705 3.35704493523 Serial FRAs ACT/360 0
3.29303693771 3.33296298981 Swap Rates 30U/360 1
3.10720491409 3.12679505348 Swap Rates 30U/360 1
2.99275398254 3.00274610519 Swap Rates 30U/360 1
2.92340993881 2.93108892441 Swap Rates 30U/360 1
2.89195394516 2.8992459774 Swap Rates 30U/360 1
2.85492300987 2.86207699776 Swap Rates 30U/360 1
2.84654998779 2.85344910622 Swap Rates 30U/360 1
2.84443593025 2.85136294365 Swap Rates 30U/360 1
2.84759902954 2.85440206528 Swap Rates 30U/360 1
2.87376904488 2.88063097 Swap Rates 30U/360 1
2.87513208389 2.88236808777 Swap Rates 30U/360 1
2.84987401962 2.85712599754 Swap Rates 30U/360 1
2.68897509575 2.7086250782 Swap Rates 30U/360 1
2.48970198631 2.51229810715 Swap Rates 30U/360 1
2.32841706276 2.36158204079 Swap Rates 30U/360 1
2.12588691711 2.14071393013 Swap Rates 30U/360 1
1.94211804867 1.95688199997 Swap Rates 30U/360 1
Curve date Start date End date Mid price
2/9/2023 2/13/2023 8/14/2023 3.1030%
2/9/2023 8/14/2023 2/13/2024 3.6330%

(1+ r12m *t) = (1+ r6m *t) x (1 + r6x12 *t)

Value of 12 month implied deposit
1.03444484974875 3.397% 0.9667020917
Is not the EURIBOR12M
 Pricing a 2 years swap of Euribor6m

Year Fracc DF 1+rxt Floating

0.505555555555556 0.9845549043 1.0156873889
0.508333333333333 0.9818671234 1.0184677501 Start date
1.01388888888889 2/13/2023
8/14/2023
2/13/2024
8/13/2024

Fixed
Check for FRA computation
3.633% Start date
2/13/2023
2/13/2024
years swap of Euribor6m

End date Fwd Yearfracc Flow Df

### 3.10300% 0.5055555556 - 1,568,738.89 0.984943
### 3.63300% 0.5083333333 - 1,846,775.01 0.967929
### 3.34700% 0.5055555556 - 1,692,094.45 0.952872
### 2.86309% 0.5111111111 - 101,463,355.63 0.939784
input from your teacher input from your teacher

npv

End date Fixed Yearfracc Flow Df

### 3.313000% 1 3,312,999.96 0.967929
### 3.313000% 1 103,312,999.96 0.939784
input from your teacher

npv

mtm
 disc flow
- 1,545,118.39
- 1,787,547.09
- 1,612,349.42
- 95,353,638.21
our teacher

- 100,298,653.10

disc flow
 3,206,748.74
97,091,904.36
our teacher

100,298,653.10

0.00