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Solving for the swap value based on PV factors, suppose two years ago we entered a 100,000,000 seven-year receive -fixed Libor-based interest rate swap with
- Solving for the swap value based on PV factors, suppose two years ago we entered a 100,000,000 seven-year receive -fixed Libor-based interest rate swap with annual resets using 30/360-day count. The fixed rate in the swap contract at initiation was 3%. Using the PV factors in the below given table, what is the value for the party receiving the fixed rate?
- Maturity (years) PV Factors
- 1 0.9906
- 2 0.9789
- 3 0.9674
- 4 0.9556
- 5 0.9236
- Maturity (years) PV Factors
- 1 0.9906
- 2 0.9789
- 3 0.9674
- 4 0.9556
- 5 0.9236
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Fundamentals of Financial Accounting
Authors: Fred Phillips, Robert Libby, Patricia Libby, Brandy Mackintosh
4th Canadian edition
978-1259269868, 978-1259103292
