An interest rate swap with THB 100 million face value has 8 months remaining life. This swap is an agreement to exchange a 6-month LIBOR and a 4% fixed rate per annum. The cash flows are swapped every six months. The 6-month LIBOR at the last settlement, 4 months ago, was 6%.
Calculate the swap value for a fixed rate payer and the swap value for a floating rate payer. Assume that the current 6-month LIBOR term structure is flat at 5% per annum.

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Swap value for the fixed rate payer PVfixed 004 THB 100 million 067 1 ... View the full answer