Calculate all the fixed cash flows and their exact timing for the swap in Business Snapshot 32.1.
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Calculate all the fixed cash flows and their exact timing for the swap in Business Snapshot 32.1.
Assume that the day count conventions are applied using target payment dates rather than actual payment dates.
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Business Snapshot 32.1 Hypothetical Confirmation for Nonstandard Swap Trade date: Effective date: Business day convention (all dates): Holiday calendar: Termination date: Fixed amounts Fixed-rate payer: Fixed-rate notional principal: Fixed rate: Fixed-rate day count convention: Fixed-rate payment dates Floating amounts Floating-rate payer Floating-rate notional principal Floating rate Floating-rate day count convention Floating-rate payment dates 5-January, 2010 11-January, 2010 Following business day 11-January, 2015 US Microsoft USD 100 million 6% per annum Actual/365 Each 11-July and 11-January commencing 11-July, 2010, up to and including 11-January, 2015 Goldman Sachs USD 120 million USD 1-month LIBOR Actual/360 11-July, 2010, and the 11th of each month thereafter up to and including 11-January, 2015
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To calculate the fixed cash flows and their exact timing for the swap described in Business Snapshot 321 we consider the fixedrate payments and their ...View the full answer
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