You are the pay fixed leg of a $1m swap with quarterly payment for one year. The
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Question:
You are the pay fixed leg of a $1m swap with quarterly payment for one year.
The annualized 90, 180, 270 and 360-day
LIBOR rates are 1%, 1.5%, 1.75% and 2% respectively.
What is your first quarterly payment in $ on day 90?
Related Book For
Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
Posted Date: