What is the value of a two-year fixed-for-floating compound swap where the principal is S100 million and
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What is the value of a two-year fixed-for-floating compound swap where the principal is S100 million and payments are made semiannually. Fixed interest is received and floating is paid. The fixed rate is 8% and it is compounded at 8.3% (both semiannually compounded). The floating rate is LIBOR plus 10 basis points and it is compounded at LIBOR plus 20 basis points.
The LIBOR zero curve is flat at 8% with semiannual compounding.
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Gauri Hendre
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