10. Today is January 2, 2008. The LIBOR curve is shown in the first column of...

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10. Today is January 2, 2008. The LIBOR curve is shown in the first column of Table 5.13. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments and $100 million notional. (a) What is the 1-year swap rate for a quarterly fixed-for-floating swap? (b) What is the value of the agreement at inception? (c) Calculate the value of the swap for each one of the subsequent dates in Table 5.13. Table: The LIBOR-Curve: January 2008-October, 2008. LIBOR curve Months 02-janv 01-fvr 03-mars 1.00 4.57% 3.14% 3.09% 2.00 4.64% 3.11% 3.04% 3.00 4.68% 3.10% 3.01% 4.00 4.65% 2.97% 5.00 4.61% 2.91% 6.00 4.57% 2.86% 7.00 4.50% 2.81% 8.00 4.42% 2.76% 9.00 4.35% 2.71% 10.00 4.29% 2.68% 11.00 4.24% 2.65% 12.00 4.19% 2.63% 3.07% 3.05% 3.02% 2.97% 2.92% 2.88% 2.85% 2.83% 2.82% 01-avr 2.70% 2.69% 2.68% 2.66% 2.64% 2.62% 2.58% 2.54% 2.51% 2.50% 2.48% 2.47% 01-mai 2.72% 2.76% 2.78% 2.82% 2.85% 2.88% 2.90% 2.92% 2.93% 2.95% 2.97% 2.98% 02-juin 2.46% 2.57% 2.68% 2.75% 2.83% 2.90% 2.94% 2.98% 3.02% 3.06% 3.10% 3.14% 01-juil 2.46% 2.65% 2.79% 2.89% 3.01% 3.12% 3.15% 3.19% 3.22% 3.25% 3.29% 3.32% 01-aot 01-sept 2.46% 2.49% 2.66% 2.68% 2.79% 2.81% 2.94% 3.02% 3.11% 3.12% 3.14% 3.15% 3.16% 3.18% 3.20% 2.89% 3.00% 3.08 3.10% 3.12% 3.14% 3.17% 3.20% 3.22% 01-oct 4.00% 4.05% 4.15% 4.09% 4.07% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% 10. Today is January 2, 2008. The LIBOR curve is shown in the first column of Table 5.13. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments and $100 million notional. (a) What is the 1-year swap rate for a quarterly fixed-for-floating swap? (b) What is the value of the agreement at inception? (c) Calculate the value of the swap for each one of the subsequent dates in Table 5.13. Table: The LIBOR-Curve: January 2008-October, 2008. LIBOR curve Months 02-janv 01-fvr 03-mars 1.00 4.57% 3.14% 3.09% 2.00 4.64% 3.11% 3.04% 3.00 4.68% 3.10% 3.01% 4.00 4.65% 2.97% 5.00 4.61% 2.91% 6.00 4.57% 2.86% 7.00 4.50% 2.81% 8.00 4.42% 2.76% 9.00 4.35% 2.71% 10.00 4.29% 2.68% 11.00 4.24% 2.65% 12.00 4.19% 2.63% 3.07% 3.05% 3.02% 2.97% 2.92% 2.88% 2.85% 2.83% 2.82% 01-avr 2.70% 2.69% 2.68% 2.66% 2.64% 2.62% 2.58% 2.54% 2.51% 2.50% 2.48% 2.47% 01-mai 2.72% 2.76% 2.78% 2.82% 2.85% 2.88% 2.90% 2.92% 2.93% 2.95% 2.97% 2.98% 02-juin 2.46% 2.57% 2.68% 2.75% 2.83% 2.90% 2.94% 2.98% 3.02% 3.06% 3.10% 3.14% 01-juil 2.46% 2.65% 2.79% 2.89% 3.01% 3.12% 3.15% 3.19% 3.22% 3.25% 3.29% 3.32% 01-aot 01-sept 2.46% 2.49% 2.66% 2.68% 2.79% 2.81% 2.94% 3.02% 3.11% 3.12% 3.14% 3.15% 3.16% 3.18% 3.20% 2.89% 3.00% 3.08 3.10% 3.12% 3.14% 3.17% 3.20% 3.22% 01-oct 4.00% 4.05% 4.15% 4.09% 4.07% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04%

Answer rating: 100% (QA)

Assumptions The LIBOR curve in the table represents the relevant interest rates for the swap agreement The swap agreement is entered into on January 2... View the full answer