A US-based investor has acquired a portfolio of five-year Swiss franc Eurobonds with a nominal value of
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A US-based investor has acquired a portfolio of five-year Swiss franc Eurobonds with a nominal value of 50 million and a yield of 4.35% (semiannual bond basis). Given a five-year Swiss franc swap quote of 4.47–4.65, please determine the spread over LIBOR at which the investor can convert this portfolio into a floating rate US dollar return for the five-year period.
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Global Derivatives A Strategic Risk Management Perspective
ISBN: 9781526411679
1st Edition
Authors: Torben Juul Andersen
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