What is the value of a swap with two years to maturity where SOFR is received and 5% per annum is paid (with semi-annual compounding) every six months on a $1,000,000 notional principal. Assume the OIS rates are 4.1% for all maturities (with continuous compounding).

Answer rating: 100% (QA)

To calculate the value of the swap we need to find the present value of the fixed leg 5 per annum pa... View the full answer