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An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 2.25% fixed is paid and 12-month LIBOR is received.
An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 2.25% fixed is paid and 12-month LIBOR is received. An exchange of payments has just taken place. The one-year, two-year and three-year LIBOR Forward rates are 2.25%, 2.40% and 2.6%. The one-year, two-year and three-year OIS rates are 3.25%, 3.00%, and 3.25%. All rates are compounded continuously. What is the value of the swap if the principal is $250 million?
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