Pricing Interest Rate Swap A. Price a plain vanilla one-year interest rate swap with quarterly settlements and
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Question:
Pricing Interest Rate Swap
A. Price a plain vanilla one-year interest rate swap with quarterly settlements and $100 million notional principal. The current term structure of LIBOR is given in the table below. Use the 30/360 day count method.
B. What is the quarterly fixed rate payment?
Term structure of interst rates | |
Maturity | |
90 | 5.85% |
180 | 5.85% |
270 | 6.24% |
360 | 6.65% |
NP | $100,000,000 |
Settlement period | 90 days |
Day count (30/360) | 360 days |
A. Fixed Rate at % per annum?
B. Fixed Rate Payment in US Dollar?
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