2) You entered in to a swap a while back where you pay 5.25% per annum...
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2) You entered in to a swap a while back where you pay 5.25% per annum on $30,000,000 and you receive the 1-year LIBOR rate. At the last settlement date the 1-year LIBOR rate was 5.75% per annum. The swap expires in 5.5 years and the following LIBOR rates are below provided per annum with continuous compounding. Years LIBOR 0.5 5.25% 1.5 5.50% 2.5 5.50% 3.5 6.00% 4.5 6.00% 5.5 6.50% What is the value of the swap from your prospective? 2) You entered in to a swap a while back where you pay 5.25% per annum on $30,000,000 and you receive the 1-year LIBOR rate. At the last settlement date the 1-year LIBOR rate was 5.75% per annum. The swap expires in 5.5 years and the following LIBOR rates are below provided per annum with continuous compounding. Years LIBOR 0.5 5.25% 1.5 5.50% 2.5 5.50% 3.5 6.00% 4.5 6.00% 5.5 6.50% What is the value of the swap from your prospective?
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