The same value is also called the swap rate. It is set so that the present values of the fixed and floating payments are equal, and can be expressed by a formula using zero-coupon bond prices1.

Notes

  1. Society of Actuaries, Financial Mathematics Study Note FM-25-17, "Interest Rate Swaps" (2017), Section 2 "Definitions" (page 3 calls the fixed rate the swap rate; page 5 sets it so the present values of both sides' payments are equal) and Section 4 "Special Formula", Formula (4.2) (page 12, swap rate from zero-coupon bond prices). ↩