Question

With the interest rate swap quotations shown in Exhibit 23.4, calculate the swap cash flows from the point of view of the fixed-rate receiver on a two-year swap with a notional principal of $22.5 million.


You may assume the relevant part of the settlement date pattern and the realized LIBOR path shown in Exhibit, for the three-year agreement. Also, calculate the fixed-rate payment on a 30/360-day count and the floating rate payments on an actual/360-daybasis.


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  • CreatedDecember 17, 2014
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