You want to enter a one-year interest rate swap contract with semiannual payments to receive a fixed
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Question:
You want to enter a one-year interest rate swap contract with semiannual payments to receive a fixed rate and pay the floating rate (LIBOR). The notional principal is $80,000,000.
LIBOR effective annual spot rates are 7.4% for half a year, and 7.6% for one year
Part 1 Attempt 1/10 for 10 pts. What should be the semiannual fixed rate on the swap?
Part 2 Attempt 1/10 for 10 pts. After 3 months. LIBOR effective annual spot rates are 7.6% for the next 3 months, and 8.1% for the next 9 months. What is the value of the swap to you (in $)?
Related Book For
International Marketing & Export Management
ISBN: 978-0273743880
7th edition
Authors: Gerald Albaum, Edwin Duerr
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