Using the information in the following table, construct an Excel spreadsheet to answer questions (a)(d). Assume the

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Using the information in the following table, construct an Excel spreadsheet to answer questions (a)–(d). image text in transcribed

Assume the frequency of both sides of the swap is quarterly and both use an actual/360 day count convention.

a. What are projected future floating payments implied by the Eurodollar futures prices?

b. What are the forward discount factors?

c. What is the swap rate that will make the present value of the net cash flows equal to zero?

d. Suppose the 3-year Treasury is 1.375%, what is the swap spread?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:01 AM

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Using the information in the following table, construct an Excel spreadsheet to answer questions (a)(d). Assume the

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Introduction To Fixed Income Analytics

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