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One year ago, RCLA entered into the four-year pay floating MRR receiving fixed-interest rate swap with annual resets, 30/360 day count, and a notional amount
One year ago, RCLA entered into the four-year pay floating MRR receiving fixed-interest rate swap with annual resets, 30/360 day count, and a notional amount of $50,000,000. The fixed rate on the swap one year ago was 1.89%. What is value of the swap today given the present value factors given in the following table. Maturity (days) Present Value Factors 360 0.9832 720 0.9604 1,080 0.9326.
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To calculate the value of the swap today we need to consider both the fixed and floating legs of the ...
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
