Question
Given the following spot yield curve, what should be the fixed rate so that the NPV of the 4- year SWAP is zero. Spot Rates
Given the following spot yield curve, what should be the fixed rate so that the NPV of the 4- year SWAP is zero.
Spot Rates R01 = 13.750% R02 = 14.500% R03 = 15.250% R04 = 16.000%
What is the present value of floating rate cash flows, assuming $1 notional principal?
What is the present value of fixed rate cash flows, assuming $1 notional principal?
What is the fixed rate of this 4-year SWAP (so that its NPV is zero)?
Instead of this fixed SWAP rate, if bank agreed to receive fixed payments based on 15.00% fixed rate and pay floating payments implied by the above yield curve, what is the NPV (to fixed payer) of this SWAP that has a notional principal of $100 million?
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Financial Accounting The Impact On Decision Makers
Authors: Gary A Porter, Curtis L Norton
7th Edition
1439080526, 9781439080528
