Accounting for Investments, Volume 2: Fixed Income Securities and Interest Rate Derivatives—A Practitioner's Guide

COMPLETE SOLUTION TO ILLUSTRATION 1: INTEREST RATE SWAP—RECEIVE FLOATING PAY FIXED

T-1 On introducing cash into the fund:

T-2 On purchase of interest rate swap trade:

T-3 On accounting for upfront fee on purchase of interest rate swap trade:

T-4 On receipt of upfront fee on purchase of interest rate swap trade:

T-5 On reversal of existing net present value of interest rate swap on valuation date:

T-6 On valuation of interest rate swap on valuation date:

T-7 Accrued interest on valuation date—pay leg:

T-8 Accrued interest on valuation date—receive leg:

T-9 On reversal of accrued interest ...