Fairmat Example

Extra Swap is characterized by an extra final payment with positive or negative sign (cash inflow or cash outflow for Party A and vice versa for Party B) which depends on the  differential between a long-term and mid-term (or short-term) rate (e.g. 30-Years CMS rate and 2-Years CMS rate or 6-Months Euribor).

Attachments

Extra Swap Template Extra Swap Documentation