When Swap Valuation Needs Historical Floating-Rate Resets

Summary

The note distinguishes two uses of historical fixing data for an interest rate swap. To value the remaining cash flows, a modeller generally needs the fixing that determines the next or current floating coupon, but does not need every earlier reset once those past payments have been settled.

Historical reset rates are needed when the task includes reconstructing cash flows paid since the swap began, such as producing a full historical cash-flow record. The answer suggests either retrieving market data for each reset date or storing the fixing used for each coupon alongside the swap’s trade data. This is a practical data-retention point rather than a pricing derivation, and the document does not discuss valuation conventions, corrections to past fixings, or specific operational requirements.

Key ideas

• Remaining swap valuation can rely on the fixing relevant to future cash flows, without replaying all past resets.
• Historical cash-flow reconstruction requires the floating-leg reset rates used in prior coupons.
• Past fixings can be retrieved from dated market data or stored with the swap’s indicative records.

Tags

# Historic Fixing rates for swaps


# Historic Fixing rates for swaps












Why would I need historic fixing rates for swaps started in past?. If trade is started in past say 2 yr back and rate is fixed 3 mth back then I only need this known rate to calculate price right but don’t need anything beyond this point in past is that correct?

## Answer by Dimitri Vulis (score 1)

https://quant.stackexchange.com/a/68982

Yes and no.

From one perspective, if your only goal is to poject the remaining cash flows, and to pv them in order to pv the swap, then you don't need the historical resets.

But from another perspective, if your goal is to print out all historical cash flows since the swap's inception (which is likely to be a requirement at a larger institution), then you do need the historical resets for the floating leg. Either you need access to the historical market data on reset dates, or (I actually prefer this design) store every reset used to calculate the coupon amount, with each swap's indicative data.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.