An interest rate swap with a 5-year tenor has a level notional amount of 100,000. The...
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An interest rate swap with a 5-year tenor has a level notional amount of 100,000. The fixed payments are based on a swap rate of 8.0%. The variable payments are based on the spot price for 1-year zero-coupon Treasury securities. At t=3, the prices (per 1000 of maturity value) for 1-year and 2-year zero-coupon Treasury securities are 937.21 and 870.18, respectively. Based on these prices for Treasury securities, what is the market value of the swap for the payer? A.) 1,492 В.) 1,477 C.)0 | D.) -1,477 Е.) -1,492 An interest rate swap with a 5-year tenor has a level notional amount of 100,000. The fixed payments are based on a swap rate of 8.0%. The variable payments are based on the spot price for 1-year zero-coupon Treasury securities. At t=3, the prices (per 1000 of maturity value) for 1-year and 2-year zero-coupon Treasury securities are 937.21 and 870.18, respectively. Based on these prices for Treasury securities, what is the market value of the swap for the payer? A.) 1,492 В.) 1,477 C.)0 | D.) -1,477 Е.) -1,492
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