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ou are asked to price 25 million dollar, 4-year plain vanilla swap. The floating rate is fixed in nce and paid in arrears. The risk
ou are asked to price 25 million dollar, 4-year plain vanilla swap. The floating rate is fixed in nce and paid in arrears. The risk free rate is expected to remain at 2.5% for the next five adva years. You are also provide with the following rates: 0x6 6x12 12x18 18x24 24x30 30x36 36x42 42x48 3.50% 3.95% 4.65% 5.10% 5.25% 5.50% 5.75% 5.95% ! and is (a) The cost of a plain vanilla swap is referred to as represented as (b) Complete the following table. imeFloating Z (months) Rates values Payments Paym Floating Rate PV of Floating Fixed Rate PV of Fixed Payment Payment (c) The present value of floating payments: (d) The present value of fixed payments: (e) What is the cost of the swap? (round of to 2-decimal places) ou are asked to price 25 million dollar, 4-year plain vanilla swap. The floating rate is fixed in nce and paid in arrears. The risk free rate is expected to remain at 2.5% for the next five adva years. You are also provide with the following rates: 0x6 6x12 12x18 18x24 24x30 30x36 36x42 42x48 3.50% 3.95% 4.65% 5.10% 5.25% 5.50% 5.75% 5.95% ! and is (a) The cost of a plain vanilla swap is referred to as represented as (b) Complete the following table. imeFloating Z (months) Rates values Payments Paym Floating Rate PV of Floating Fixed Rate PV of Fixed Payment Payment (c) The present value of floating payments: (d) The present value of fixed payments: (e) What is the cost of the swap? (round of to 2-decimal places)
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