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

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Suppose a dealer quotes these terms on a five-year swap: fixed-rate payer to pay $9.5 \%$ for LIBOR flat and floating-rate payer to pay 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 five-year Treasury notes, assuming this yield is $9 \%$ ?

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Foundations Of Financial Markets And Institutions

ISBN: 9780136135319

4th Edition

Authors: Frank J Fabozzi, Franco G Modigliani, Frank J Jones

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Question Posted: Mar 02, 2024 05:01 AM

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

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Swap Quote Analysis Scenario A dealer quotes a fiveyear swap with the following terms Fixedrate paye...View the full answer

Foundations Of Financial Markets And Institutions

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