On January 15 th 2019 Snow Limited and Flood Limited agreed on a 1 year swap with
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Question:
On January 15th 2019 Snow Limited and Flood Limited agreed on a 1 year swap with quarterly settlement and the swap rate at 7% p.a. on notional principal of $1m. Snow Limited is the payer. The floating rate was set at BBSW which was 8% p.a. on January 15, 8.5% in April, 7% in July, 6.5% in October and 5% in January 2020.
Calculate the swap cash settlements between the two parties over the life of the swap. Assume an equal number of days in each quarter of the year.
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