You entered into a plain vanilla swap a while back where you pay 10% per annum with
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Question:
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%
0.45 7.30%
0.7 7.35%
In exchange, you receive a payment of LIBOR. Your swap has 0.7 years left until its termination date. The LIBOR rate was 14.5% per annum with quarterly compounding when you made your last payment.
If today's discount rates are per annum with continuous compounding as followed what is the value of your position?
Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
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