An investor holds the fixed-payer position in a 7.44%/LIBOR swap with $1M notional principal, semi-annual payments, and exactly one-year remaining. What is the value of the existing fixed-payer position, if the swap rate for new one-year swaps with matching notional principal is 3.57%/LIBOR?

Answer rating: 100% (QA)

Existing swap rate 744 or 00744 Notional Principal 1000000 New swap rate 357 or 00357 We can take ... View the full answer