Question
AT&T signed a 5-year swap two years ago. In the 5-year swap AT&T agreed to pay a fixed rate of 6.5% per annum on a
AT&T signed a 5-year swap two years ago. In the 5-year swap AT&T agreed to pay a fixed rate of 6.5% per annum on a notional of 200,000 USD. Now there are only 3 years left on the swap. As of today we have the following spot rates:
Calcule market value of the swap.
| time | spot rate |
| 1 | 0.05 |
| 2 | 0.057 |
| 3 | 0.065 |
| 4 | 0.075 |
| 5 | 0.080 |
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Introduction to Finance Markets Investments and Financial Management
Authors: Melicher Ronald, Norton Edgar
15th edition
9781118800720, 1118492676, 1118800729, 978-1118492673
