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

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

a. What is the dealer’s bid-ask spread?

b. How would the dealer quote the terms by reference to the yield on fiveyear Treasury notes, assuming this yield is 9%?

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Foundations Of Global Financial Markets And Institutions

ISBN: 9780262039543

5th Edition

Authors: Frank J. Fabozzi, Frank J. Jones, Francesco A. Fabozzi, Steven V. Mann

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Question Posted: Oct 21, 2024 05:04 AM

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

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Foundations Of Global Financial Markets And Institutions

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