Suppose that a dealer quotes these terms on a fiveyear swap: fixed-rate payer to pay 4.4% for

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Suppose that a dealer quotes these terms on a fiveyear swap: fixed-rate payer to pay 4.4% for LIBOR and fixed-rate receiver to pay LIBOR for 4.2%.

a. What is the dealer’s bid-ask 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: 9780132743549

8th Edition

Authors: Frank J Fabozzi

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Question Posted: Jul 28, 2024 08:00 AM

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Suppose that a dealer quotes these terms on a fiveyear swap: fixed-rate payer to pay 4.4% for

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Bond Markets Analysis And Strategies

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