The current Commerical Paper (CP) spot rates are below. Consider a swap with $100,000 notional amount Days % 90
Posted: Thu Dec 23, 2021 8:28 am
The current Commerical Paper (CP) spot rates are below. Consider
a swap with $100,000 notional amount
Days %
90 6%
180 6.25%
270 6.50%
The fixed plain vanilla swap rate for a 270-day swap with
settlements every 90 days rounded to two decimals in percent but
omitting the percent sign is _______
Given the following t= 60 spot rates and the corresponding
zero-coupon bond prices the value of the swap 60-days after
inception from the point of view of a company paying fixed and
receiving the floating rate is ______________
(include the notional amount and round your answer to two
decimals)
Days L0,days
B0, days
30
6%
0.995
120 6.60%
0.9785
210 6.80%
0.9618
a swap with $100,000 notional amount
Days %
90 6%
180 6.25%
270 6.50%
The fixed plain vanilla swap rate for a 270-day swap with
settlements every 90 days rounded to two decimals in percent but
omitting the percent sign is _______
Given the following t= 60 spot rates and the corresponding
zero-coupon bond prices the value of the swap 60-days after
inception from the point of view of a company paying fixed and
receiving the floating rate is ______________
(include the notional amount and round your answer to two
decimals)
Days L0,days
B0, days
30
6%
0.995
120 6.60%
0.9785
210 6.80%
0.9618