Today is January 1. You are short a quarterly swap with a notional amount of $100 million
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Today is January 1. You are short a quarterly swap with a notional amount of $100 million that will mature in six months (i.e. on June 30). The reference rate is 3-month LIBOR. Today's 3-month LIBOR is 3.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 are quoted as 96.0 and 95.8. The swap rate is 3.7%. What is the value of this swap to you?
$24,858 | |
-$24,858 | |
$65,289 | |
-$65,289 |
Expert Answer:
Answer rating: 100% (QA)
This swap is worth 24858 to the swap holder The swap holder is short the swap which means they wi... View the full answer
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