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Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of
Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of the fixed rate You just received a payment at the end of the third quarter. The current month forward rate is There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below. tableQtrDay Count,tableFutures Price atend of QtrForward Rate,tableExpectedFloating CashFlowtableExpected FixedCash Flow Provide your answers for each of the following by typing in the results of your calculations a The expected floating cash flows and their Present Values b The expected fixed cash flows and their Present Values c The final value of the swap
Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of the fixed rate You just received a payment at the end of the third quarter. The current month forward rate is There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below.
tableQtrDay Count,tableFutures Price atend of QtrForward Rate,tableExpectedFloating CashFlowtableExpected FixedCash Flow
Provide your answers for each of the following by typing in the results of your calculations
a The expected floating cash flows and their Present Values
b The expected fixed cash flows and their Present Values
c The final value of the swap
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