Fixed leg: Difference between revisions
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* [[ICE Swap Rate]] | * [[ICE Swap Rate]] | ||
* [[Interest rate swap]] | * [[Interest rate swap]] | ||
* [[Market taker]] | * [[Market taker]] | ||
* [[Swap rate]] | * [[Swap rate]] | ||
* [[Two-way price]] | * [[Two-way price]] | ||
Latest revision as of 11:06, 1 September 2018
Interest rate swaps.
The fixed leg of an interest rate swap is a predetermined series of notional fixed interest payments, exchanged for a series of floating interest payments, determined over time by the reference rate.
In practice the interest rate swap is settled for difference, so these payments are notional.
The fixed leg is also sometimes known as the fixed rate leg.
When interest rate swap prices are quoted, the two-way prices quoted are for the fixed leg rate payable or receivable by the market taker.
(The market taker takes the worse side of the two-way price.)
See also
Other links
Treasury Essentials: interest rate swap, Will Spinney, March 2014
