An investor who owns a interest rate swap pay six-month LIBOR and receive 2.38% (semi-annual compounding) on a principal of 99 million Euro. The remaining life of this swap is 15 months (1.25 years). The LIBOR rates for 3m, 9m and 15m are 3.38%, 3.88%, and 4.38% (continuous compounding), and the 6-month LIBOR on the last payment date (the most recent reset date) was 3.58% (semi-annual compounding). Calculate the value of the swap (in millions):
An investor who owns a interest rate swap pay six-month LIBOR and receive 2.38% (semi-annual compounding) on a principal of 99 million Euro. The remaining life of this swap is 15 months (1.25 years). The LIBOR rates for 3m, 9m and 15m are 3.38%, 3.88%, and 4.38% (continuous compounding), and the 6-month LIBOR on the last payment date (the most recent reset date) was 3.58% (semi-annual compounding). Calculate the value of the swap (in millions):
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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