2. You observe the Norwegian forward rate agreement (FRA) curve 414 Period (mos) 6 x 12...

 

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2. You observe the Norwegian forward rate agreement (FRA) curve 414 Period (mos) 6 x 12 12 x 18 18 x 24 24 x 30 30 x 36 36 x 42 42 x 48 48 x 54 54 x 60 Days 184 181 184 181 184 182 184 181 184 ZC Rate hp 2.65% 2.89% 3.00% 3:02% 3.01% 3.00% 3.00% 3.00% 3.03% Spin In addition, the outright Norwegian 6-month (181 day) Libor deposit rate is 2.77% a) (11 points) Using this information, calculate the implied annual fixed rate for a two-year Norwegian krone interest rate swap assuming this fixed rate is paid semi-annually [Note your answer should be quoted on an actual 365 day basis] 2. You observe the Norwegian forward rate agreement (FRA) curve 414 Period (mos) 6 x 12 12 x 18 18 x 24 24 x 30 30 x 36 36 x 42 42 x 48 48 x 54 54 x 60 Days 184 181 184 181 184 182 184 181 184 ZC Rate hp 2.65% 2.89% 3.00% 3:02% 3.01% 3.00% 3.00% 3.00% 3.03% Spin In addition, the outright Norwegian 6-month (181 day) Libor deposit rate is 2.77% a) (11 points) Using this information, calculate the implied annual fixed rate for a two-year Norwegian krone interest rate swap assuming this fixed rate is paid semi-annually [Note your answer should be quoted on an actual 365 day basis]

Answer rating: 100% (QA)

V Value of variable leg of the swap V 27... View the full answer