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Consider the same swap agreement introduced in the Question # 4 . Ninety days later, the term structure is as follows: Days LIBOR 9 0
Consider the same swap agreement introduced in the Question # Ninety days later, the term structure is as
follows:
Days LIBOR
Determine the market value of the interest rate swap for the fixed payer. Assume a notional principal of $
million.
$
$
$
$
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