Question: Consider a three-year swap receiving fixed paying floating with principal of $10 million dollars, receiving a fixed rate of 2 percent per year, and paying

Consider a three-year swap receiving fixed paying floating with principal of $10 million dollars, receiving a fixed rate of 2 percent per year, and paying the one-year floating spot rate yearly. What is the value of the swap when it is issued?

B(0,3) .90

B(0,2) .92

B(0,1) .94

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Use the zero-coupon bond prices given in the following table to answer the question that follows. B(0,3) = .9 B(0,2) = .92 B(0,1) = .94 Consider a three-year swap receiving fixed paying floating with...

For Zero-Coupon Bonds B(0,3), B(0,2) and B(0,1), prices are 0.90, 0.92, and 0.94, respectively. Consider a three-year swap receiving fixed paying floating with principal of $10 million dollars,...

Consider a three-year swap receiving fixed paying floating withprincipal of $10 million dollars, receiving a fixed rate of 2percent per year, and paying the one-year floating spot rateyearly. What is...

Consider a three-year swap paying floating receiving fixed with principal of $10 million dollars, paying a fixed rate of 2 percent per year paid yearly, and using the one-year floating spot rate paid...

Consider a newly issued three-year swap receiving floating paying fixed with principal $10 million dollars, paying the one-year swap rate yearly, and receiving the one-year floating spot rate yearly....

Points Problem 1 The first tey principle to take away from this problem is that the swap rate at the outset of a contract is computed from the observed term structure of interest rates at that time,...

Points Problem 1 The first key principle to take away from this problem is that the swap rate at the outset of a contract is computed from the observed term structure of interest rates at that time,...

*** Need help in finding the value for Vfloat. Thank you *** A plain vanilla interest rate swap is arranged. The notional principal is N = 10 million dollars and the swap will be for six years. One...

In 2001 a new superconductor, the simple intermetallic alloy MGB2 with critical temperature T. = 39 K, was discovered. This was the highest T. for a non-ceramic superconductor and thus attracted much...

Discuss the relationship between the Interest Rates and Rate of Return in the various investments in brief. [ Word limits Not More than 200]

The LSUS Corporation has total sales of $ 2 2 , 9 8 0 , costs of $ 1 4 , 7 1 5 , and deprecistion of $ 6 , 0 4 5 . The tax rate is 3 4 percent. There are no interest expenses or other income. What is...

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".