a. Suppose that at the inception of a five-year interest-rate swap in which the reference rate is

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a. Suppose that at the inception of a five-year interest-rate swap in which the reference rate is three-month LIBOR, the present value of the floating-rate payments is $16,555,000. The fixedrate payments are assumed to be semiannual.

Assume also that the following is computed for the fixed-rate payments (using the notation in the chapter): image text in transcribed

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?

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Bond Markets Analysis And Strategies

ISBN: 9780132743549

8th Edition

Authors: Frank J Fabozzi

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Question Posted: Jul 28, 2024 08:00 AM

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a. Suppose that at the inception of a five-year interest-rate swap in which the reference rate is

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10 days in period t notional amount X swap rate X- 360 $236,500,000 X forward discount factor for period t =

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Bond Markets Analysis And Strategies

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