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Company XYZ enters into a 1 year, $40,000,000 notional amount, pay fixed/receive floating swap with Bank B. Payments are made every six months based on
- Company XYZ enters into a 1 year, $40,000,000 notional amount, pay fixed/receive floating swap with Bank B. Payments are made every six months based on 30 days per month.
- Calculate the fixed rate for this plain vanilla swap based on the following term structure of LIBOR:
- L(180) = 2.5% and L(360) = 2.75%.
- Six months from now what will the first payment be? Who pays it?
- Calculate the fixed rate for this plain vanilla swap based on the following term structure of LIBOR:
Round to 4 decimals
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