Compute the initial value of a forward-starting swap that begins at t=1 with maturity t = 10
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Question:
Compute the initial value of a forward-starting swap that begins at t=1 with maturity t = 10 and a fixed rate of 4.5%. (The first payment then takes place at
t = 2
t =2 and the final payment takes place at
t = 11
t =11 as we are assuming, as usual, that payments take place in arrears.) You should assume a swap notional of 1 million and assume that you receive floating and pay fixed.)
Related Book For
Probability and Statistical Inference
ISBN: 978-0321923271
9th edition
Authors: Robert V. Hogg, Elliot Tanis, Dale Zimmerman
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