Value a 1.5-year swap, with swap rate 5.52%. The floating leg is referenced to the 6-month...
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Value a 1.5-year swap, with swap rate 5.52%. The floating leg is referenced to the 6-month LIBOR, which is at 6% per annum. Notional is 100 million. Use the following discount factors: T 0.25 0.50 0.75 1.00 1.25 1.50 Z(0,T) 0.9848 0.9745 0.9618 0.9490 0.9353 0.9215 You are told that this swap is at initiation. What is the payment frequency of the fixed leg on the swap, quarterly or semiannually? Please show all assumptions and calculations. Value a 1.5-year swap, with swap rate 5.52%. The floating leg is referenced to the 6-month LIBOR, which is at 6% per annum. Notional is 100 million. Use the following discount factors: T 0.25 0.50 0.75 1.00 1.25 1.50 Z(0,T) 0.9848 0.9745 0.9618 0.9490 0.9353 0.9215 You are told that this swap is at initiation. What is the payment frequency of the fixed leg on the swap, quarterly or semiannually? Please show all assumptions and calculations.
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To determine the payment frequency of the fixed leg on the swap we need to compare th... View the full answer
Related Book For
Value at Risk The New Benchmark for Managing Financial Risk
ISBN: 978-0071464956
3rd edition
Authors: Philippe Jorion
Posted Date:
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