Calculating the MtM of a Swap
The Mark-to-Market (MtM) value of a swap represents the current net value of the swap’s cashflows, calculated using prevailing market interest rates. Here’s how it works in the context of BlueGamma:
1. Navigate to the Swap MtM module
Log in to BlueGamma.
From the left-hand navigation menu, click Swap MtM.
2. Add a Swap
Click Add New.
To add a new swap click 'Add Swap'
Fill in the required details in the Create Swap popup.
3. Download and Edit the Schedule
After creating the swap, click the Download Pricer button to add the notional profile.
Open the downloaded file in Excel and ensure all dates align with the interest payment schedule.
Populate the Notionals column: the notional value of the swap at each period.
Pro Tip: If the dates don’t align, return to the platform and adjust them before proceeding.
5. Upload the Edited Schedule
Save the Excel file after inputting the data.
Use the Upload Pricer button to re-import the updated schedule.
4. View Automatic MtM Calculations
Once uploaded, BlueGamma will automatically calculate the MtM using current market rates and your input data.
How it works:
The platform calculates the present value (PV) of future cashflows for both the fixed leg and the floating leg.
Formula: PV(Fixed Leg) – PV(Floating Leg) = MtM
You’ll see updated MtM values displayed on the page, ensuring real-time insights into your swap’s performance. 🎉
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