Question: 4. Interest Rate Swap: Using the same USD LIBOR spot rate curve provided (see, SpotRateCurves. xIsx), construct an Excel Sheet to calculate the at-the-money Swap

4. Interest Rate Swap: Using the same USD LIBOR spot rate curve provided (see, SpotRateCurves. xIsx), construct an Excel Sheet to calculate the at-the-money Swap Rate of a fixed-for-floating interest rate swap with the following inputs: a. Trade date b. Swap notional (for eg. 10 million) c. Coupon frequency (semi-annual or annual) d. Maturity (1 year to 10 years) You may price the swap as a strip of Forward Rate Agreements (FRAs) as discussed during the lecture and as described in the additional learning material. Suppose that the interest rate curve shifts down by 10 bps, subsequent to the inception of the interest rate swap:a. What is the new mark-to-market value of the swap from the perspective of the fixed-rate payer? b. What is the new mark-to-market value of the swap from the perspective of the fixed-rate receiver?Notes: a You will have to construct the Forward rate curve from the Spot rate curve For the above exercise. Feel free to use the Excel sheet From Seminar 1 For that. a One should be able to change the input parameters in your sheet and it should automatically calculate the swap rate for those parameters. 0 Marks will be awarded for the implementation style. [ 25 marks ] D13 X Y fix A B C D E Spot Rate Curves - Quarterly data points VOUTAWNY 0#USDEDMZ=R USD Native Bid Cash 0,092 8 7D 0,142 1M 0,15 10 2M 0, 136 11 3M 0, 189 12 4M 0,203 13 5M 0, 193 14 6M 0,207 15 7M 0,22 16 8M 0,229 17 9M 0,238 18 10M 0,249 19 11M 0,261 20 1Y 0,28 21 1Y 3M 0,334 22 1Y 6M 0,398 23 1Y 9M 0,47 24 2Y 0,552 25 2Y 3M 0,638 Spot Rates +

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Interest Rate Swap: (a) Using an assumed same spot rate curve, construct an Excel spread sheet to calculate the at-the-money Swap Rate of a fixed-for-floating interest rate swap with the following...

3. Interest Rate Swap: (a) Using the same spot rate curve as in question 2 above, construct an Excel spreadsheet to calculate the at-the-money Swap Rate of a fixed-for-floating interest rate swap...

Question 3 Using the same spot rate curve as in question 2 above, construct an Excel spread sheet to calculate the at-the-money Swap Rate of a fixed-for-floating interest rate swap with the following...

Need help with a finance question urgently... See the attachment and send the solution in attachment with clear details. Chapter 5 - Term Structure of Interest Rates Interest rates vary by maturity...

Need help with a finance project. Thanks in advance. Chapter 5 - Term Structure of Interest Rates Interest rates vary by maturity of the instrument and by risk characteristics 3 mo T-bill 3 mo...

Answer all the questions. QUESTION 6 USC is a listed company based in the USA. It is in the process of acquiring a French company, FRC. FRC will retain a separate treasury operation but funding will...

A U.S. company plans to raise 70,000,000. It plans to raise this money by issuing dollar denominated bonds and using a currency swap to convert the dollars to euros. The company expects interest...

Develop a chart of Director's financial presentation based on the Case Example, displayed in our text in Appendix Chapter 9-A, for Harris Memorial Hospital and Harris Community Foundation's Audited...

A work center has five jobs assigned to it. They are labeled, in the order of their arrival in the shop, as jobs A, B, C, D, and E. The work center may work on only one job at a time and must...

STY (inter vivos) trust derived $25,000 of interest income and $7,000 in a fully franked dividends during the income year 2020/21. The net trust income was distributed accordingly to the following...

yle established a revocable trust two years ago and named the trust the beneficiary of his life insurance policy. Lyle s wife is the beneficiary of the trust. The proceeds paid to the trust at Lyle s...

4 local gym offers two membership options You can pay 50 for the first three months und 4 for each additional month or you can pay 9 per month Explain to a prospective nember what their decision...