Your firm has a portfolio of interest-rate derivatives as follows: 

N1=$36M notional 8-year swap with swap rate c=4.8% as fixed receiver, 

 4-year cap on notional N2=$49M with strike rate K1=5.8%, 

Short 2-year floor position with strike rate K2=$3.2% on notional N3=$22M, 

Short 3-year cap position with strike rate K3=$6.4% on notional N4=$11M. 

All contract payments take place on March 1 and September 1.  The 6m LIBOR rate on March 1 was r=7.2% (with semi-annual compounding).

 What is your net payoff on this portfolio on September 1?

Answer rating: 100% (QA)

To calculate the net payoff on the portfolio on September 1 we need to calculate the cash flows for ... View the full answer