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3) Suppose that on 1/1/2020 you are long a swap starting in 1 year and expiring in two years which pays 1% fixed. So, it
3) Suppose that on 1/1/2020 you are long a swap starting in 1 year and expiring in two years which pays 1% fixed. So, it consists of two periods, first payment in 1.5 years and second payment in 2 years. By being long you get paid the fixed leg and pay the floating leg. Assuming the same curve as in the previous problem, what is the value of this swap? 3) Suppose that on 1/1/2020 you are long a swap starting in 1 year and expiring in two years which pays 1% fixed. So, it consists of two periods, first payment in 1.5 years and second payment in 2 years. By being long you get paid the fixed leg and pay the floating leg. Assuming the same curve as in the previous problem, what is the value of this swap
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Advanced Accounting
Authors: Gail Fayerman
1st Canadian Edition
9781118774113, 1118774116, 111803791X, 978-1118037911
