Question
Consider a fixed-rate semiannual-pay interest rate swap with a 1-year tenor, in which the floating payments are based on the 6-month LIBOR on a $1
Consider a fixed-rate semiannual-pay interest rate swap with a 1-year tenor, in which the floating
payments are based on the 6-month LIBOR on a $1 million portfolio. We have the following information
on current LIBOR:
180-day LIBOR is 2.3%
360-day LIBOR is 2.5%
What is the fixed rate on the swap
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International Financial Markets And The Firm
Authors: Piet Sercu, Raman Uppal
1st Edition
1861523548, 978-1861523549
