Question
Find the value of the swap agreement that has 16 month till maturity in which you receive floating payments and pay fixed rate payments based
Find the value of the swap agreement that has 16 month till maturity in which you receive floating payments and pay fixed rate payments based on 8% annual rate on a nominal amount of $1,000,000. All payments are semi-annual (i.e., you pay $1,000,000*0.08/2=$40,000 and you get $1,000,000*LIBOR/2 each 6 month). Find the value of this swap for you if the next payment that you will receive is $39,000 and continuously compounded interest rates for 2, 4, 6, 8, 10, 12, 14, and 16 months are 8%, 8.2%, 8.3%, 8.36%, 8.41%, 8.45%, 8.48%, and 8.5% respectively
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