Deliverable swap futures

The price as 100 plus the delivered swap's value per 100 off the curve, forward swap rate, annuity, DV01 per contract and the value against a traded price.

Inputs

Currency

Contracts (long)

Deliveryy

Swap delivered

Contract coupon%

Traded price (0 for none)

Discount and projection curve

Discount and projection curve: flat rate% cc

Results

Every input and result then gets a + calc button.

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Methodology

Conventions

A deliverable swap future delivers a swap at its coupon; the price is 100 plus the swap's value per 100.
Valued on the projected curve, without a futures convexity adjustment.

References

CME, Deliverable Swap Futures contract specification

Formulas

Price: P = 100 (1 + c A − (1 − D(T0, Tn)))
Value: V = (P − P_trade) / 100 × size × contracts