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At expiry of a 4% Payer swaption on a 7-year interest rate swap on $100mln, with 6-mo SOFR as the floating rate leg, the actual
At expiry of a 4% Payer swaption on a 7-year interest rate swap on $100mln, with 6-mo SOFR as the floating rate leg, the actual (prevailing) 7-yr swap rate is 4.60% and the yield curve is flat. The option is cash settled on the basis of that prevailing swap rate of 4.60%.
Payment dates are every 6 months.
Roughly what is the cash settlement amount of the swaption?
$5.02mln |
$3.56mln |
$3.817mln |
$2.51mln |
$4.57mln |
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