Consider a plain vanilla interest-rate swap with an effective date of January 1 of year 1, notional amount of $100 million and quarterly payments. The reference rate is 3- month LIBOR. On January 1, the 3-month LIBOR is 3.0%, and 3-month Eurodollar futures maturing on June 30 and September 30 of year 1 are quoted as 96.6 and 96.2. Find the present value of the floating payment in the third quarter. $899,104 $915,322 $931,067 $946,482

Consider a plain vanilla interest-rate swap with an effective date of January 1 of year 1, notional amount of $100 million and quarterly payments. The reference rate is 3- month LIBOR. On January 1, the 3-month LIBOR is 3.0%, and 3-month Eurodollar futures maturing on June 30 and September 30 of year 1 are quoted as 96.6 and 96.2. Find the present value of the floating payment in the third quarter. $899,104 $915,322 $931,067 $946,482

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter7: International Arbitrage And Interest Rate Parity

Section: Chapter Questions

Problem 39QA

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