Fwd Swap Rate
Fwd Swap Rate is a direct subtype of Interest Rate
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Fwd Swap Rate
This type represents all the defining properties of a forward swap rate apart from the numerical value of the forward rate.
Like any Quotable, an object of type Fwd Swap Rate has an associated value at any given valuation time prior to its maturity.
That value is interpreted as the fair annualised interest rate of an underlying swap assumed to start on the maturity.
That forward starting underlying swap is a fixed-versus-floating interest rate swap, of which the start date, maturity, coupon schedule and conventions are all defined within the type here.
As the valuation date changes, the overall structure of the underlying swap stays fixed.
Note the forward swap rate ceases to exist after its maturity date.
In other words, a value may be assigned to it only at dates prior or equal to its maturity date.