Find the value of a swap agreement in which you receive floating LIBOR interest payment on $100M in exchange for 7% fixed rate payments.

All interest rates are annual rates with semi-annual compounding. All payments are semi-annual with the last payment in 14 months (i.e., payments are at t=2/12, 8/12, and 14/12). The next floating-rate payment that you will receive in 2 months is equal to $3.6M.

The LIBOR rates for 2, 8, and 14 months are 7.1%, 6.9%, and 6.8% respectively.

Answer rating: 100% (QA)

Fixed rate payments The fixed rate is 7 which is paid semiannually Therefore the fixed rate payment at t212 is 35M 7 of 100M divided by 2 the fixed ra... View the full answer