Question
Companies X and Y have been offered the following rates per annum on a $10 million 5-year investment: Fixed Rate Floating Rate Company X 5.0%
Companies X and Y have been offered the following rates per annum on a $10 million 5-year investment:
|
| Fixed Rate | Floating Rate |
| Company X | 5.0% | LIBOR |
| Company Y | 5.8% | LIBOR |
Company X requires a fixed-rate investment; company Y requires a floating-rate investment. Design a swap that will net a bank, acting as intermediary, 0.3% per annum and will appear equally attractive to X and Y.
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Fundamentals Of Futures And Options Market
Authors: John C. Hull
6th Edition
0132242265, 9780132242264
