You enter a 1-year pay-fixed receive floating interest rate swap with semi-annual payments on a notional principal

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You enter a 1-year pay-fixed receive floating interest rate swap with semi-annual payments on a notional principal of $35 million and the current term structure of interest rates is below based on a 360-day year.

L0(180) =0.033

L0(360) =0.043

A) What is the swap fixed rate?

B) What is the first net payment?

C)If two months later, the new term structure of interest rates is given below, then what is the value of the swap at that time?

L60(120) =0.025

L60(300) =0.035

Posted Date: May 19, 2024 02:06 AM

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You enter a 1-year pay-fixed receive floating interest rate swap with semi-annual payments on a notional principal

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