Question
AquaCompany has zero credit risk and needs to determine the value of a swap with two years remaining. AC pays 8% s.a. fixed. The Notational
AquaCompany has zero credit risk and needs to determine the value of a swap with two years remaining. AC pays 8% s.a. fixed. The Notational amount is USD 70 million.
The following table shows the relevant LIBOR Rates.
|
| LIBOR rate | |
| 6 month | 6.00% | |
| 12 month | 6.25% | |
| 18 month | 6.25% | |
| 24 month | 6.60% | |
|
|
| |
What is the fixed payment?
What is the value of the swap to AC using an actual/360 day count?
Should they sell the swap? Why or why not? What would be the advantages and disadvantages. What would they have to consider?
PLEASE SHOW ALL WORKING/NECESSARY FORUMLAS TO SOLVE THIS PROBLEM, THANK YOU **
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Financial Management Theory And Practice
Authors: Eugene F. Brigham, Michael C. Ehrhardt
10th Edition
0030329922, 9780030329920
