a. Suppose that at the inception of a five- year interest-rate swap in which the refer- cncc
Question:
a. Suppose that at the inception of a five- year interest-rate swap in which the refer- cncc rate io three-month LIBOR, the pre- sent value of the floating-rate payments is $16,555,000. The fixed-rate payments are assumed to be semiannual. Assume also that the following is computed for the fixed-rate payments (using the notation in the chapter):
What is the swap rate for this swap?
b. Suppose that the five-year yield from the on-the-run Treasury yield curve is 6.4%. What is the swap spread?AppendixLO1
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: