25.3 Variations on vanilla interest Rate swaps Principal different on two sides Payment frequency different on two sides Can be floating for floating instead of floating for fixed It is still correct to assume that forward rates are realized How should a swap exchanging the 3-month LIBOR for 3-month T-Bill rate be valued Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 25.3 Variations on Vanilla Interest Rate Swaps • Principal different on two sides • Payment frequency different on two sides • Can be floating for floating instead of floating for fixed • It is still correct to assume that forward rates are realized • How should a swap exchanging the 3-month LIBOR for 3-month T-Bill rate be valued?