Changing a Swap’s Floating Rate

When you price a swap or a swap-based option (e.g., an Asian strip or Asian strip strategy) in either the Single Option page or the Portfolio page, to calculate the projected floating rate SDX Commodities & Energy takes the average of the futures over the period of the swap.

This projected floating rate is then displayed:

For swaps in the Single Option page in the Swap Rate in the Results area.

For swaps in the Portfolio page in the Underlying Price field.

If you are calculating a swap for a period that has already started, for the fixings that have already passed the system uses the actual futures fixed on those dates.

You can see these actual futures in the Fixing Details window or the Expiry Dates & Rates window. You can manually change any of these futures and then recalculate the floating rate.