Flag question: Question 16 Two years ago Calima Financial entered a fixed for floating rate swap...
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Flag question: Question 16 Two years ago Calima Financial entered a fixed for floating rate swap to receive fixed payments and pay floating rate payments. In this swap, payments are made every quarter on a notional value of $27,000,000, floating rate payments are based on the 3-month Treasury rate and the fixed rate on the swap is 6.03%. Find the current value of the swap to Calima Financial if there are exactly two years left on the swap and a swap payment was exchanged this morning. The current term structure of interest rates is provided below. TTM Spot Rate Interest Rate 0.25 1.03% 0.5 0.75 1.45% 2% 1 1.89% 1.25 2.61% 1.5 2.63% 1.75 2.83% 2 3.35% Interest rates for this term structure are annualized using semiannual compounding. Answer: Enter your answer as a positive or negative number rounded to 4 decimal places based on the value to Calima. Flag question: Question 16 Two years ago Calima Financial entered a fixed for floating rate swap to receive fixed payments and pay floating rate payments. In this swap, payments are made every quarter on a notional value of $27,000,000, floating rate payments are based on the 3-month Treasury rate and the fixed rate on the swap is 6.03%. Find the current value of the swap to Calima Financial if there are exactly two years left on the swap and a swap payment was exchanged this morning. The current term structure of interest rates is provided below. TTM Spot Rate Interest Rate 0.25 1.03% 0.5 0.75 1.45% 2% 1 1.89% 1.25 2.61% 1.5 2.63% 1.75 2.83% 2 3.35% Interest rates for this term structure are annualized using semiannual compounding. Answer: Enter your answer as a positive or negative number rounded to 4 decimal places based on the value to Calima.
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