Page 1 of 1
A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life o
Posted: Tue Apr 26, 2022 11:16 am
by answerhappygod
- A Semi Annual Pay Interest Rate Swap Where The Fixed Rate Is 5 00 With Semi Annual Compounding Has A Remaining Life O 1 (61.96 KiB) Viewed 46 times
A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR rate observed three months ago was 4.85% with semi-annual compounding. Today's three and nine month LIBOR rates are 5.3% and 5.8% (continuously compounded) respectively. Assume that OIS and LIBOR rates are the same. If the swap has a principal value of $15,000,000, the value of the swap to the party receiving a fixed rate of interest is closest to which of the following? a. -$11,250 Ob -$70,760 Oc+$92,960