Suppose that the yield curve is flat at 0.117% per annum with continuous compounding. A swap with a notional principal of $100 million in which 6% is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7%. 

Answer in millions of dollars to two decimal places.

(i) What is the value of the fixed-rate bond underlying the swap? _ _ _ _ _ _
(ii) What is the value of the floating-rate bond underlying the swap? _ _ _ _ _ _
(iii) What is the value of the payment that will be exchanged in 3 months? _ _ _ _ _ _
(iv) What is the value of the payment that will be exchanged in 9 months? _ _ _ _ _ _
(v) What is the value of the payment that will be exchanged in 15 months? _ _ _ _ _ _
(vi) What is the value of the swap? _ _ _ _ _ _

Answer rating: 100% (QA)

All amount in million i Value of the fixedrate bond underlying the swap Fixed Payment 6 million annu... View the full answer