Today, we reached an interest rate swap agreement for 3 years in which we are the payer. In the agreement, interest will be repaid every 6 months and the face value of this swap is $100. If the current yield to maturity of a 3-year fixed coupon bond is 2% p.a., and the current 6-month LIBOR rate is 3% p.a. 

What is the swap rate and what is current swap value?

Answer rating: 100% (QA)

To calculate the swap rate we need to determine the fixed rate that would make the present value of the fixed payments equal to the present value of t... View the full answer