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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 0.620%.
Calculate the value of this derivative based on the following spot rate.
Tenor | Bootstrapped Rate | |
3-months | 0.210% | |
6-months | Spot0x6 | 0.456% |
9-months | Spot0x9 | 0.621% |
12-months | Spot0x12 | 0.826% |
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