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An investor enters into a PKR500,000 quarterly plain vanilla interest rate SWAP as fixed rate payer at a fixed rate of 5%. The floating rate
An investor enters into a PKR500,000 quarterly plain vanilla interest rate SWAP as fixed rate payer at a fixed rate of 5%. The floating rate payer agrees to pay 90-day LIBOR plus 1% margin, 90 day LIBOR is currently 3%.
90-day LIBOR rates are | |
3.5% | 90 days from now |
4.0% | 180 days from now |
4.5% | 270 days from now |
5% 360 days from now
Calculate the amounts investor pays or receives 90,180, 270 and 360 days from now
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