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Consider the following interest rate swap Maturity: 10 years Notional amount: $10 million Receive 1-year T-bill rate Pay fixed 5-year fixed rate 5-year fixed rate
Consider the following interest rate swap
- Maturity: 10 years
- Notional amount: $10 million
- Receive 1-year T-bill rate
- Pay fixed 5-year fixed rate
- 5-year fixed rate is currently 5%
- Calculate duration of swap for the fixed payment side.
- If 5-year swap interest rate increases by 1%, how much does the one with the fixed payment loose? Note that swap contract exchanges only interest payments.
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Finance
Authors: Ehsan Nikbakht, A A Groppelli
6th Edition
0764147595, 9780764147593
