Suppose that a dealer quotes these terms on a five-year swap: fixed-rate payer to pay 9.5% for

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Suppose that a dealer quotes these terms on a five-year swap: fixed-rate payer to pay 9.5% for LIBOR and floating-rate payer to pay LIBOR for 9.2%.

a. What is the dealer's bid-asked spread?

b. How would the dealer quote the terms by reference to the yield on five-year Treasury notes?

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Bond Markets Analysis And Strategies

ISBN: 9780130402660

4th Edition

Authors: Frank J. Fabozzi

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Question Posted: Jul 27, 2024 06:01 AM

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Suppose that a dealer quotes these terms on a five-year swap: fixed-rate payer to pay 9.5% for

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Bond Markets Analysis And Strategies

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