Question
Findthemarketvalueofaplainvanillaswapfromtheperspectiveofthefixedratepayerinwhichtheupcomingpaymentisin30days,andthereisonemorepayment180daysafterthat.Theupcomingfloatingpaymentisat7percentandthefixedrateis6.4percent.Thenotionalprincipalis$15million.Assume360daysina year.ThepricesofEurodollarzerocouponbondsare0.9934(30days)and0.9528(210days). thefloatingpayerpays$196,654 thefixedpayerpays$31,467 thefixedpayerpays$71,528 thefloatingpayerpays$49,900
Findthemarketvalueofaplainvanillaswapfromtheperspectiveofthefixedratepayerinwhichtheupcomingpaymentisin30days,andthereisonemorepayment180daysafterthat.Theupcomingfloatingpaymentisat7percentandthefixedrateis6.4percent.Thenotionalprincipalis$15million.Assume360daysina year.ThepricesofEurodollarzerocouponbondsare0.9934(30days)and0.9528(210days).
thefloatingpayerpays$196,654
thefixedpayerpays$31,467
thefixedpayerpays$71,528
thefloatingpayerpays$49,900
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
Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
14th edition
