Question
A company wants a swap where it pays semiannual payments at 6.8% per annum with semiannual compounding on a principal of $9 million for four
A company wants a swap where it pays semiannual payments at 6.8% per annum with semiannual compounding on a principal of $9 million for four years.
The five-year swap rate with semiannual cash flows is 7.2% per annum with semiannual compounding.
The OIS zero curve is flat at 6% per annum with continuous compounding.
How much should a derivatives dealer charge the company?
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Capitalization A Book On Corporation Finance
Authors: Hastings Lyon
1st Edition
124007736X, 9781240077366
