Consider a swap with duration of 7 years. Assume a principal of 10,000,000 and the swap rate

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Consider a swap with duration of 7 years. Assume a principal of 10,000,000 and the swap rate drop by 0.5%. What is going to be a swap payer gain?

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Management Science The Art of Modeling with Spreadsheets

ISBN: 978-1118582695

4th edition

Authors: Stephen G. Powell, Kenneth R. Baker

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Posted Date: Mar 06, 2024 02:12 PM

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Consider a swap with duration of 7 years. Assume a principal of 10,000,000 and the swap rate

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To calculate the swap payer gain resulting from a drop in the swap rate by 05 we n... View the full answer

Management Science The Art of Modeling with Spreadsheets

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