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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
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 |
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