Question
A company wants a swap where it pays semiannual payments at 6.8% per annum with semiannual compounding on a principal of $9 million for four
A company wants a swap where it pays semiannual payments at 6.8% per annum with semiannual compounding on a principal of $9 million for four years. The five-year swap rate with semiannual cash flows is 7.2% per annum with semiannual compounding. The OIS zero curve is flat at 6% per annum with continuous compounding. How much should a derivatives dealer charge the company?
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Fundamentals Of Statistics
Authors: Michael Sullivan III
4th Edition
978-032184460, 032183870X, 321844602, 9780321838704, 978-0321844606
