A $100 milion interest rate swap has a remaining life of 10 months. Under the terms of

Question:

A $100 milion interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6-month LIBOR is exchanged for 12% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for 6-month LIBOR in swaps of all maturities currently 10% per annum with continuous compounding. The 6-month LIBOR rate was 9.6% per annum 2 months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: