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of Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 4% pa. (semi-annual compunding) each 6M under a 2Y

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of Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 4% pa. (semi-annual compunding) each 6M under a 2Y SWAP contract on a principal of 1.000.000 GBP. The swap has a remaining life of 9M (it end on 31.12.2020). What is the value of this SWAP on 01.04.2020, if the following quotations (pa, continuous compounding) are known: Date LIBOR 3M LIBOR 6M LIBOR OM LIBOR 1Y 01.01.2020 3,80% 4,00% 4,10% 4,12% 01.04.2020 3,95% 4,10% 4,15% 4,20% Select one: 1.-1741,68 GBP Cil. -1 236,47 GBP lll. 1252,08 GBP iv. -1037,11 GBP V. 1757,49 GBP vi. 1741,68 GBP vil. 1037,11 GBP viii. -1 252,08 GBP ix. -1 757,49 GBP X. 1236,47 GBP of Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 4% pa. (semi-annual compunding) each 6M under a 2Y SWAP contract on a principal of 1.000.000 GBP. The swap has a remaining life of 9M (it end on 31.12.2020). What is the value of this SWAP on 01.04.2020, if the following quotations (pa, continuous compounding) are known: Date LIBOR 3M LIBOR 6M LIBOR OM LIBOR 1Y 01.01.2020 3,80% 4,00% 4,10% 4,12% 01.04.2020 3,95% 4,10% 4,15% 4,20% Select one: 1.-1741,68 GBP Cil. -1 236,47 GBP lll. 1252,08 GBP iv. -1037,11 GBP V. 1757,49 GBP vi. 1741,68 GBP vil. 1037,11 GBP viii. -1 252,08 GBP ix. -1 757,49 GBP X. 1236,47 GBP

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