a $ 1 0 0 million interest rate swap gas a remaining life of 1 0 months.

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Question:

a $

100

million interest rate swap gas a remaining life of

10

months. Under the terms of the swap, six month LIBOR is exchanged for

7 %

per annum.

(

compunded semianually

) .

The average of the bid offer rate being exhanged for six

-

month LIBOR in swaps of all maturities is currently

5 %

per annum with continuous compounding. The six month LIBOR rate was

4.6 %

per annum two months ago. What is the value of the fixed rate bond underlying the swap

Posted Date: May 18, 2024 11:14 PM

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a $ 1 0 0 million interest rate swap gas a remaining life of 1 0 months.

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