Companies X and Y have been offered the following rates per annum on a $5 million 10-year

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Companies X and Y have been offered the following rates per annum on a $5 million 10-year investment:

Company X requires a fixed-rate investment; company Y requires a floating-rate investment. Design a swap that will net a bank, acting as intermediary, 0.2% per annum and will appear equally attractive to X and Y.

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Question Posted: Jan 20, 2016 08:51 AM

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Companies X and Y have been offered the following rates per annum on a $5 million 10-year

Question:

Floating Rate Company X Company Y Fixed Rate 8.0% 8.8% LIBOR LIBOR

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The spread between the interest rates offered to X and Y is 08 per ...View the full answer

Fundamentals of Futures and Options Markets

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