Question
Note for this question, it is important that you do not round earlier calculations so perform steps in Excel. An interest rate swap with a
Note for this question, it is important that you do not round earlier calculations so perform steps in Excel. An interest rate swap with a notional value of $150m has 1 years and 2 months to maturity. Under the terms of the swap, sixmonth LIBOR is exchanged for 6% (semi-annual comp) per annum. The Libor/swap rates for maturities of 2, 8, 14 months are 7.0%, 7.5%, 8%, respectively with continuous compounding. The sixmonth LIBOR 4 months ago was 6.5% (semi-annual comp) per annum. Assume OIS rates are the same as LIBOR rates. What is the current value of the swap to the party paying fixed? Enter your answer in $ Millions and to 3 decimal places. e.g enter $ 1,567,345.54 as 1.567 without the dollar sign
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