Question
A company enters into a $35 million notional principal interst rate swap. (pay fixed, receive floating at LIBOR) The pay is made every 90days for
A company enters into a $35 million notional principal interst rate swap. (pay fixed, receive floating at LIBOR)
The pay is made every 90days for one year. (adjustment factor : 90/360)
The term structure of LIBOR = 90days : 7%, 180days : 7.25%, 270days : 7.45%, 360days : 7.55%
Assume that it is now 30 days into the life of the swap.
The new term structure of LIBOR becomes= 90days : 6.8%, 180days : 7.05%, 270days : 7.15%, 360days : 7.2%
What is the value of the swap?
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Advanced Financial Risk Management Enterprise Wide Risk Management In Theory And Practice
Authors: Donald Van Deventer, Kenji Imai, Mark Mesler
3rd Edition
1547416157, 9781547416158
