1. A. Consider the buyer of a 6 x 9 FRA. The contract rate is 6.35%...
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1. A. Consider the buyer of a 6 x 9 FRA. The contract rate is 6.35% on a notional amount of 10 million. Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360-day count basis. B. Consider the following plain vanilla swap. Party A pays a fixed rate of 8.29% per annum on a semiannual basis (180/360) and receives from Party B LIBOR + 30 basis points. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party A? 1. A. Consider the buyer of a 6 x 9 FRA. The contract rate is 6.35% on a notional amount of 10 million. Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360-day count basis. B. Consider the following plain vanilla swap. Party A pays a fixed rate of 8.29% per annum on a semiannual basis (180/360) and receives from Party B LIBOR + 30 basis points. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party A?
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Related Book For
Introduction To Derivatives And Risk Management
ISBN: 9781305104969
10th Edition
Authors: Don M. Chance, Robert Brooks
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