The five-year swap rate when cash flows are exchanged semiannually is 4%. A company wants a swap
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The five-year swap rate when cash flows are exchanged semiannually is 4%. A company wants a swap where it receives payments at 4.2% per annum on a principal of $10 million.
The OIS zero curve is flat at 3.6%. How much should a derivatives dealer charge the company. All rates are expressed with semiannual compounding. (Ignore bid–offer spreads.)
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Calculating the Swap Rate Charged by the Dealer Heres how to calculate the swap rate the derivatives dealer should charge the company 1 Convert rates ...View the full answer
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Related Book For
Fundamentals Of Futures And Options Markets
ISBN: 9781292422114
9th Global Edition
Authors: John Hull
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