Swap Rate

The Swap Rate displays the projected floating rate, i.e., the future floating rate based on the average of the current values of the futures over the swap period.

For a spread swap 3-leg and a spread swap 3-leg strip this field displays the actual spread, which is always displayed in the unit of asset 1 and is calculated as follows:

The swap rate of Asset 1 +/- the swap rate of Asset 2 +/- the swap rate of Asset 3

The swap rate of each individual asset is calculated as its weight x its price, where for asset 2 & asset 3 the inclusion of the weight lets SD convert the swap rate of that asset in its own default unit into a swap rate in the default unit of asset 1.