Question: b. From the receive fixed side, value the swap based on the following information: Notional Value = $100,000,000; Time to Maturity = 1.50 years; Fixed

b. From the receive fixed side, value the swap based on the following information:

  • Notional Value = $100,000,000;
  • Time to Maturity = 1.50 years;
  • Fixed Rate = 3.50% p.a. and is paid semi-annually;
  • Floating Rate is the six-month BBSW and the rate resets today;
  • The 6-month, 12-month and 18-month BBSW rates are 4.00%, 4.20% and 4.50%, respectively. All rates are nominal annual with semi-annual compounding.

(5 marks)

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