Question
On January 1, 2021 you enter a fixed for float currency swap, under which, every year and for the next 3 years, you receive LIBOR
On January 1, 2021 you enter a fixed for float currency swap, under which, every year and for the next 3 years, you receive LIBOR on 50M USD and pay a fix 2%. Assuming the following future history for the LIBOR rate determine YOUR net cash flows at each payment date.
| Date | Net Payment | LIBOR rate |
| January 1 2021 | 2.50% | |
| January 1 2022 | 1.80% | |
| January 1 2023 | 1.90% | |
| January 1 2024 | 2.10% |
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International Financial Reporting A Practical Guide
Authors: Alan Melville
6th edition
978-1292200743
