Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Aug 31, 2024

Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 4% pa. (semi-annual compunding) each 6M under a 2Y SWAP

Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 4% pa. (semi-annual compunding) each 6M under a 2Y SWAP contract on a principal of 1.000.000 GBP. The swap has a remaining life of 9M (it end on 31.12.2020). What is the value of this SWAP on 01.04.2020, if the following quotations (pa., continuous compounding) are known: Date LIBOR 3M LIBOR 6M LIBOR 9M LIBOR 1Y 01.01.2020 3,80% 4,00% 4,10% 4,12% 01.04.2020 3,95% 4,10% 4,15% 4,20% Select one: i. -1 741,68 GBP ii. -1 236,47 GBP iii. 1 252,08 GBP iv. -1 037,11 GBP v. 1 757,49 GBP vi. 1741,68 GBP vii. 1 037,11 GBP viii. -1 252,08 GBP ix. -1 757,49 GBP x. 1 236,47 GBP

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

Recommended Textbook for

Financial Intelligence

Authors: Income Mastery

1st Edition

1647773210, 978-1647773212

More Books

Students also viewed these Finance questions

Question

★★★★★

Clean Air Anti-Pollution Company is suffering declining sales of its principal product, nonbiodegradable plastic cartons. The president, Dixon Nuber, instructs his controller, Gavin Wood, to lengthen...

Answered: 1 week ago

Question

★★★★★

5. Discuss Paivios two-dimensional model of imagery use in sport. Why are there five types of imagery use if the model is two-dimensional in nature? How is imagery use measured?

Answered: 1 week ago

Question

★★★★★

In 2013, the Barton and Barton Company changed its method of valuing inventory from the FIFO method to the average cost method. At December 31, 2012, B & Bs inventories were $32 million (FIFO). B &...

Answered: 1 week ago

Question

★★★★★

Present Value Computations Using the present value tables, solve the following. (Click here to access the PV and FV tables to use with this problem.) Round your answers to two decimal places....

Answered: 1 week ago

Question

★★★★★

27) Chromium metal can be produced by the reacting chromium (III) oxide with silicon by the following unbalanced equation: Cr2O3+SiCr+SiO2 a) What is the percent yield of Cr if 125g of silicon...

Answered: 1 week ago

Question

★★★★★

For Exercises 27-32, refer to functions s, t, and v. Find the indicated function and write the domain in interval notation. (See Example 3) s(x) 27. (s. 1)(x) 31. (sv)(x) = x-2 x-9 x-3 t(x) = bail...

Answered: 1 week ago

Question

★★★★★

Demonstrate how the host from computer A identifying the destination of computer G before A can start sending file to the computer. == SWITCH ROUTER SWITCH A B C G H

Answered: 1 week ago

Question

★★★★★

Below picture shows a cross section of a pipe, with 90 mm inside diameter (ID), if the pipe outer diameter (OD) is 100 mm. what is the (4) ?pipe cross-sectional area OD 100 mm Pipe cross sectional...

Answered: 1 week ago

Question

★★★★★

You are the Cost Accountant of an industrial concern and have been given the following budgeted information regarding the four cost centers within your organization. Department Department Department...

Answered: 1 week ago

Question

★★★★★

In the 1930s, Dr. Joseph Rhine tested 500 participants to guess the order in a shuffled deck of cards. Only those participants who guessed correctly moved to the next round. The last participant to...

Answered: 1 week ago

Previous Question Next Question