Question
A year ago, you made a three-year interest rate swap contact. Swap payments are made annually. Notional amount is 1 million. In this contract you
A year ago, you made a three-year interest rate swap contact. Swap payments are made annually. Notional amount is 1 million. In this contract you will pay LIBOR + 200 bps and you will receive constant payments at an interest rate of 6%. After one year from now, it turns out that you received a net swap payment of 402.7.
Calculate LIBOR for the second year.
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Public Finance And Public Policy
Authors: Arye L. Hillman
2nd Edition
0521738059, 978-0521738057
