Question
A $10 million 1-year semi-annual-pay LIBOR-based interest-rate swap was initiated 90 days ago when the 180-day LIBOR was 4.2%. The fixed rate on the swap
A $10 million 1-year semi-annual-pay LIBOR-based interest-rate swap was initiated 90 days ago when
the 180-day LIBOR was 4.2%. The fixed rate on the swap is 4.5%, current 90-day LIBOR is 4.8% and
270-day LIBOR is 4.96%. The value of the swap to the fixed-rate payer is closest to
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Corporate Finance Reader
Authors: Robert W. Kolb
2nd Edition
1878975536, 978-1878975539
