Q10. Today is January 2,2008. The LIBOR curve (continuously compounded) is shown in the first column...
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Q10. Today is January 2,2008. The LIBOR curve (continuously compounded) is shown in the first column of Table 5.13. 2 Table 5.13 The LIBOR Curve: January, 2008-October, 2008 Months 1 2 3 4 5 2-Jan 1-Feb 3-Mar 1-Apr 1-May 2-Jun 1-Jul 1-Aug 1-Sep 1-Oct 4.57% 3.14% 3.09% 2.70% 2.72% 2.46% 2.46% 2.46% 2.49% 4.00% 4.64% 3.11% 3.04% 2.69% 2.76% 2.57% 2.65% 2.66% 2.68% 4.05% 4.68% 3.10% 3.01% 2.68% 2.78% 2.68% 2.79% 2,79% 2.81% 4.15% 4.65% 3.07% 2.97% 2.66% 2.82% 2.75% 2.89% 2.89% 2.94% 4.09% 4.61% 3.05% 2.91% 2.64% 2.85% 2.83% 3.01% 3.00% 3.02% 4.07% 4.57% 3.02% 2.86% 2.62% 2.88% 2.90% 3.12% 3.08% 3.11% 4.04% 4.50% 2.97% 2.81% 2.58% 2.90% 2.94% 3.15% 3.10% 3.12% 4.04% 4.42% 2.92% 2.76% 2.54% 2.92% 2.98% 3.19% 3.12% 3.14% 4.04% 4.35% 2.88% 2,71% 2.51% 2.93% 3.02% 3.22% 3.14% 3.15% 4.04% 4.29% 2.85% 2.68% 2.50% 2.95% 3.06% 3.25% 3.17 % 3.16% 4.04% 4.24% 2.83% 2.65% 2.48% 2.97% 3.10% 3.29% 3.20% 3.18% 6 7 8 9 10 11 4.04% 12 4.19% 2.82% 2.63% 2.47% 2.98% 3.14% 3.32% 3.22% 3.20% 4.04% Source: Bloomberg. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments (paying fixed and receiving floating) and $100 million notional. (a) What is the 1-year swap rate for a quarterly fixed-for-floating swap? (b) What is the value of the agreement at inception? (c) Calculate the value of the swap in one month (on Feb 1). Q10. Today is January 2,2008. The LIBOR curve (continuously compounded) is shown in the first column of Table 5.13. 2 Table 5.13 The LIBOR Curve: January, 2008-October, 2008 Months 1 2 3 4 5 2-Jan 1-Feb 3-Mar 1-Apr 1-May 2-Jun 1-Jul 1-Aug 1-Sep 1-Oct 4.57% 3.14% 3.09% 2.70% 2.72% 2.46% 2.46% 2.46% 2.49% 4.00% 4.64% 3.11% 3.04% 2.69% 2.76% 2.57% 2.65% 2.66% 2.68% 4.05% 4.68% 3.10% 3.01% 2.68% 2.78% 2.68% 2.79% 2,79% 2.81% 4.15% 4.65% 3.07% 2.97% 2.66% 2.82% 2.75% 2.89% 2.89% 2.94% 4.09% 4.61% 3.05% 2.91% 2.64% 2.85% 2.83% 3.01% 3.00% 3.02% 4.07% 4.57% 3.02% 2.86% 2.62% 2.88% 2.90% 3.12% 3.08% 3.11% 4.04% 4.50% 2.97% 2.81% 2.58% 2.90% 2.94% 3.15% 3.10% 3.12% 4.04% 4.42% 2.92% 2.76% 2.54% 2.92% 2.98% 3.19% 3.12% 3.14% 4.04% 4.35% 2.88% 2,71% 2.51% 2.93% 3.02% 3.22% 3.14% 3.15% 4.04% 4.29% 2.85% 2.68% 2.50% 2.95% 3.06% 3.25% 3.17 % 3.16% 4.04% 4.24% 2.83% 2.65% 2.48% 2.97% 3.10% 3.29% 3.20% 3.18% 6 7 8 9 10 11 4.04% 12 4.19% 2.82% 2.63% 2.47% 2.98% 3.14% 3.32% 3.22% 3.20% 4.04% Source: Bloomberg. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments (paying fixed and receiving floating) and $100 million notional. (a) What is the 1-year swap rate for a quarterly fixed-for-floating swap? (b) What is the value of the agreement at inception? (c) Calculate the value of the swap in one month (on Feb 1).
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Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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