Parties A and B enter a 2-Year Fixed-for-Floating interest rate swap on a Notional Principal of $100 million. The underlying floating rate is the 6-Month LIBOR. The LIBOR term structure at initiation of the swap is as follows:

30-Day:5.95%,90-Day: 6.17%, 180-Day: 6.24%, 270-Day: 6.89%,360-Day: 7.01%, 450-Day: 7.29%, 540-Day: 7.63%630-Day: 8.11% 720-Day: 8.16%

What is the Swap Rate?

Answer rating: 100% (QA)

To calculate the swap rate we need to equate the present value of fixedrate cash flows to ... View the full answer