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Bajo los trminos de un swap, una institucin financiera acord pagar la tasa LIBOR a seis meses y recibir 8% anual (con una composicin semestral)

Bajo los trminos de un swap, una institucin financiera acord pagar la tasa LIBOR a seis meses y recibir 8% anual (con una composicin semestral) sobre un principal de $100 millones. E l swap tiene una vida restante de 1.25 aos. Las tasas LIBOR con una composicin continua para vencimientos a 3, 9 y 15 meses son: 10% ,10.5% y 11%, respectivamente. La tasa LIBOR a seis meses en la ltima fecha de pago fue de 10.2% (con una composicin semestral) Estimar el valor del Swap.

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