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All rates in this question are quoted with semi-annual compounding. 7 years, 5 months ago, you entered into a LIBOR swap with maturity 8 years,
All rates in this question are quoted with semi-annual compounding. 7 years, 5 months ago, you entered into a LIBOR swap with maturity 8 years, and fixed rate 3.60%. You agreed to pay fixed and receive floating on a notional principal of $1 million. The swap makes semi-annual payments. The swap now has 7 months to run. At the last reset date, the LIBOR curve was flat at 4.00%. The OIS curve is now flat at 4.00%, while the LIBOR curve is flat at 4.40%. What is the value of the swap to you?
5892.48 | ||
7895.47 | ||
3947.73 | ||
5902.06 |
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