DF
Dividend 15 Split Corp. II
stock NYSE

Hello every one,
I'm working for a Bank. I have a task to validate NPV of IRS deal in Kondor. But I very stressful about how to calculate correctly the floating rate.

I think this will be equal to Forward rate + spread. But I can't make match with system.

See the picture in below: I have the USD SOFR OIS Curve at 30/06/2025. I want to calculate the floating rate for the CF start at 14/07/2025, and end in 12/08/2025.

I use the forward rate as \[ (DF (12/08/2025) / DF (14/07/2025) - 1 \] / (360 / (12/08/2025 - 14/07/2025)\] (use linear interpolate from DF 09/07/2025, 16/07/2025 - and 04/08/2025 - 02/09/2025) and get the result is 4.3186%.

The DF I use as:
01/07/2025 1 0.999877793
09/07/2025 9 0.998916234
14/07/2025 14 0.9983168868714
16/07/2025 16 0.998077148 => Forward rate - 14/07 - 12/08 : 4.3186%
04/08/2025 35 0.995804932
12/08/2025 43 0.9948559317517
02/09/2025 64 0.992364806
After + spread (1.61448%) => the total floating is 5.9331%. And with the notional amount is 161300 and 29 days (from 14/07 - 12/08) => I calculate the CF as 770.918. But the system show the CF should be smaller (= 761.04) => Forward rate should be smaller.

So in that case - as I use right method or Kondor having other facts I don not know?

[https://i.postimg.cc/pTZZ0Shy/z67718476 ... d6084a.jpg](https://i.postimg.cc/pTZZ0Shy/z6771847652138-287dbbc641010375be8829cdc9d6084a.jpg)

And another question:

If the CF is over the report date, but still not at the the end (for example: 14/04 - 14/07, report date at 30/06) => how to calculate forward rate?

And if the CF is over the end date, but still not meet the settlement date => what rate should we use in this case?

Thanks so much for your help. I hope to receive your respond soon.

Hello every one,
I'm working for a Bank. I have a task to validate NPV of IRS deal in Kondor. But I very stressful about how to calculate correctly the floating rate.

I think this will be equal to Forward rate + spread. But I can't make match with system.

See the picture in below: I have the USD SOFR OIS Curve at 30/06/2025. I want to calculate the floating rate for the CF start at 14/07/2025, and end in 12/08/2025.

I use the forward rate as \[ (DF (12/08/2025) / DF (14/07/2025) - 1 \] / (360 / (12/08/2025 - 14/07/2025)\] (use linear interpolate from DF 09/07/2025, 16/07/2025 - and 04/08/2025 - 02/09/2025) and get the result is 4.3186%.

The DF I use as:
01/07/2025 1 0.999877793
09/07/2025 9 0.998916234
14/07/2025 14 0.9983168868714
16/07/2025 16 0.998077148 => Forward rate - 14/07 - 12/08 : 4.3186%
04/08/2025 35 0.995804932
12/08/2025 43 0.9948559317517
02/09/2025 64 0.992364806
After + spread (1.61448%) => the total floating is 5.9331%. And with the notional amount is 161300 and 29 days (from 14/07 - 12/08) => I calculate the CF as 770.918. But the system show the CF should be smaller (= 761.04) => Forward rate should be smaller.

So in that case - as I use right method or Kondor having other facts I don not know?

[https://i.postimg.cc/pTZZ0Shy/z67718476 ... d6084a.jpg](https://i.postimg.cc/pTZZ0Shy/z6771847652138-287dbbc641010375be8829cdc9d6084a.jpg)

And another question:

If the CF is over the report date, but still not at the the end (for example: 14/04 - 14/07, report date at 30/06) => how to calculate forward rate?

And if the CF is over the end date, but still not meet the settlement date => what rate should we use in this case?

Thanks so much for your help. I hope to receive your respond soon.