9 northeastern.instructure.com () C 202510_2 Fall 2024 Semester ... Start Assignment Home Module 10 Assignment, Problem Set 9 Announcements Due Dec 10 by 11:59pm Points 100 Submitting a file upload File Types pdf Attempts 0 Allowed Attempts 1 Account Assignments Available Nov 19 at 12am - Dec 10 at 11:59pm Discussions Dashboard Grades Assignment: Problem Set 9 E People Answer all questions below: Courses Pages Groups Files 1. The two-year zero rate is 6% and the three year zero rate is 6.5%. What is the forward rate for the third year? All rates are continuously compounded. Syllabus Calendar Quizzes Modules 2. A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life of nine months. The six-month Inbox LIBOR rate observed three months ago was 4.85% with semi-annual compounding. Today's three and nine month LIBOR rates are 5.3% and 5.8% Collaborations (continuously compounded) respectively. From this it can be calculated that the forward LIBOR rate for the period between three- and nine-months is 6.14% New Analytics with semi-annual compounding. If the swap has a principal value of $15,000,000, what is the value of the swap to the party receiving a fixed rate of History interest? Assume OIS rates are the same as LIBOR rates. Zoom Meetings Studio Leganto Course Materials Help Poll Everywhere Microsoft Teams 3. On March 20, Microsoft agrees to a swap with a notional principal of $100M. Payments are exchanged every 6 months. Microsoft agrees to pay an interest meetings rate of 5% per annum with semiannual compounding and receives LIBOR. Payments are made in arrears. On March 20 the 6 month LIBOR is 4.6% with OneDrive semiannual compounding. On September 20, what is Microsoft's net cash flow? Namecoach Progress Reports (EAB Navigate 4. Zero rates for one year, two year and 3 year investments are 4%, 5% and 5.6% per annum with continuous compounding. What is the forward rate for year 3 Panopto Video (% per annum with continuous compounding)? Lucid (Whiteboard) Qwickly Attendance Quickly Course Tools Previous Next GETMARKED Quiz Importer