You hold a swap contract under which receive LIBOR and pay 6% fixed, based on $20 million
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You hold a swap contract under which receive LIBOR and pay 6% fixed, based on $20 million notional principal. The payments are semiannual and the swap matures in 1 year. Assume a payment has just been made (we are standing just after the reset date), and that the riskless yield curve is flat at 3% (continuously compounded). What is the value of the swap?
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Related Book For 
Accounting Theory Conceptual Issues in a Political and Economic Environment
ISBN: 978-1412991698
8th edition
Authors: Harry Wolk, James Dodd, John Rozycki
Posted Date:
