You are the pay fixed leg of a $1m swap with quarterly payment for one year. The

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You are the pay fixed leg of a $1m swap with quarterly payment for one year.

The annualized 90, 180, 270 and 360-day

LIBOR rates are 1%, 1.5%, 1.75% and 2% respectively.

What is your first quarterly payment in $ on day 90?

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Fixed Income Securities Valuation Risk and Risk Management

ISBN: 978-0470109106

1st edition

Authors: Pietro Veronesi

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Posted Date: Oct 13, 2023 05:14 AM

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You are the pay fixed leg of a $1m swap with quarterly payment for one year. The

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Fixed Income Securities Valuation Risk and Risk Management

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