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Suppose that some time ago a bank agreed to a SWAP with semi-annual payments over 100 million to exchange LIBOR for 3% fixed coupon. Today,
Suppose that some time ago a bank agreed to a SWAP with semi-annual payments over 100 million to exchange LIBOR for 3% fixed coupon. Today, June 2, 2020, it has exactly 15 months of validity left.
Complete the table
Notional: $100,000,000
Without considering specific dates or holidays
* Rate observed in the last coupon cut
Supported by the table, fill in the yellow spaces and calculate the swap value as of Jun 2, 2020
LIBOR Cap Cont. Floating cash float (to receive) Discount factor PV of net cash flow Net cash flow FWD LIBOR 6 Fixed cash flow months 2 jun (to pay) cap continuous 3.00% 2.88%* 02-jun-20 0.25 02-mar-20 02-jun-20 02-sep-20 02-mar-21 02-sep-21 0.75 2.90% 3.30% 3.50% 1.25 SWAP Value on june 2nd, 2020 = LIBOR Cap Cont. Floating cash float (to receive) Discount factor PV of net cash flow Net cash flow FWD LIBOR 6 Fixed cash flow months 2 jun (to pay) cap continuous 3.00% 2.88%* 02-jun-20 0.25 02-mar-20 02-jun-20 02-sep-20 02-mar-21 02-sep-21 0.75 2.90% 3.30% 3.50% 1.25 SWAP Value on june 2nd, 2020 =Step by Step Solution
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