Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Consider a USD 50 million notional quarterly settled fixed-to-floating interest rate swap on 3-month USD LIBOR. We assume this swap was originally for 5 years
Consider a USD 50 million notional quarterly settled fixed-to-floating interest rate swap on 3-month USD LIBOR. We assume this swap was originally for 5 years but now has 9 months remaining and was originally struck at 1.8 %. Based on the swap rate curve, we see that a 9- month swap rate is now 0.62096. Calculate the value of this derivative based on the following spot rate. Tenor 3-months 6-months Bootstrapped Rate 0.210% Spot... 0.45696 Spot 0.621% 0.82696 9-months 12-months Spot $441,402.02 $442,500.00 $442,267,81 $147,500.00
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started