In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to
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In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months.
Three-month forward LIBOR for all maturities is currently 4% per annum. The threemonth LIBOR rate one month ago was 3.2% per annum. OIS rates for all maturities are currently 3.8% with continuous compounding. All other rates are compounded quarterly.
What is the value of the swap?
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Related Book For
Fundamentals Of Futures And Options Markets
ISBN: 9781292422114
9th Global Edition
Authors: John Hull
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