Question
Currency Interest Rate Swap Data for PLN: WIBOR6M: 6,40%, FRA6v12: 6,00-6,20%, FRA12v18: 5,80-6,00%, FRA18v24: 5,70-6,00%; number of days in consecutive 6M periods: 181, 184, 182,
Currency Interest Rate Swap
Data for PLN: WIBOR6M: 6,40%, FRA6v12: 6,00-6,20%, FRA12v18: 5,80-6,00%, FRA18v24: 5,70-6,00%; number of days in consecutive 6M periods: 181, 184, 182, 184; basis = Actual/365. Data for USD: LIBOR6M: 1,8125%, term rates for consecutive 6M periods: 1,85%, 1,9725%, 2,15%; basis: 30U/360. Spot rate PLN/USD = 3,8560.
Price CIRS 2Y USD 6M LIBOR vs. PLN annual fixed.
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes
4th Edition
0256147175, 978-0256147179
