Consider a permanent payment under plain vanilla. interest rate swap which is paid in advance in following settings. The start date is I year and maturity is 2 years. The floating rate is 24 months. Floating rate is 6-month USD Libor. The rate of swap trading is 5%.

Based on the above information with hypothetical setting. Construct synthetic equivalent or imitation Of this swap under two Forward Rate Agreements (FRA). Also discuss the prime parameters of FRAs

Answer rating: 100% (QA)

Information Given Interest rate swap which is paid in advance S... View the full answer