Question: You entered into a plain vanilla swap a while back where you pay 8% per annum with semiannual compounding on a notional principle of $100,000,000

You entered into a plain vanilla swap a while back where you pay 8% per annum with semiannual compounding on a notional principle of $100,000,000 with payments made semiannually. In exchange you receive a payment of LIBOR annuallya. Your swap has 1.25 years left until its termination date. The LIBOR rate was 7.25% per annum with semiannual compounding when you made your last payment. If todays discount rates are per annum with continuous compounding as followed what is the value of your position?

Years Rate

0.25 7.25%

0.75 7.30%

1.25 7.35%

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

2) You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

Question 2 please. Thank you 2) You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made...

You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. Years Rate 0.2 7.25%...

You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

2) You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

USE EXCEL PLEASE******* You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly....

2) You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you...

Fantasy Inc. and Kids Wheel, both hypothetical toy companies, initiated a three-year interest rate swap contract on January 20th, 2000. Under the terms of the swap contract Fantasy Inc is agreed to...

Design a granular pavement with 30mm thick bituminous surfacing for a 4 lane road (2 lanes each way) Urban Arterial with the following characteristics. The average annual daily traffic of the road is...

Cisco Computing invested an additional 100000 face amount of 10 year bonds issued by Waco Micro Chip Company on Jan 1 20x1. The bonds were purchased at 95 and bear interest at standard rate of 7%per...

if the seller repaid the loan, the title company. would reconvey the title to her, but if she defaulted, it would conduct an auction sale of the property, using the proceeds to repay the seller. What...

A company is preparing completing their Cash Budget. The following data has been prepared for cash receipts and payments. January February March Cash receipts $1,061,200 $1,182,400 $1,091,700 Cash...