Question
Suppose that a bank has agreed to the following terms of an interest rate swap - The notional principal is CAD 300 million and the
Suppose that a bank has agreed to the following terms of an interest rate swap
- The notional principal is CAD 300 million and the remaining life of the swap is 11 months.
- The bank pays 8% per annum, and receives three-month LIBOR. - Payments are exchanged every three months.
- The swap (fixed) rate is 11% per annum for all maturities.
- The three-month LIBOR rate a month ago was 12.5% per annum. All rates are compounded quarterly.
A) Estimate the value of the swap using a bond-price valuation method
B) a FRAs-based method?
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Handbook Of Digital Currency Bitcoin Innovation Financial Instruments And Big Data
Authors: David Lee Kuo Chuen
1st Edition
0128021179, 978-0128021170
