Question

An interest-rate swap had an original maturity of five-years. Today, the swap has two years to maturity. The present value of the fixed-rate payments for the remainder of the term of the swap is $910,000. The present value of the floating-rate payments for the remainder of the swap is $710,000.
Answer the below questions.
(a) What is the value of this swap from the perspective of the fixed-rate payer?
(b) What is the value of this swap from the perspective of the fixed-rate receiver?


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  • CreatedAugust 22, 2015
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