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In an existing (not new) interest rate swap, your...

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In an existing (not new) interest rate swap, your company receives 7.00% (fixed) per annum and pays 3month LIBOR in return on a notional principal of $100 million with payments being exchanged every 3 months. The swap has a remaining life of 13 months. This implies the next cashflow will be exchanged in 1 months and the last exchange occurred 2 months ago.

 

Paper#4005 | Written in 18-Jul-2015

Price : $25
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