Question
Suppose that the yield curve is flat at 0.117 per annum with continuous compounding. A swap with a notional principal of $100 in which 6%
Suppose that the yield curve is flat at 0.117 per annum with continuous compounding. A swap with a notional principal of $100 in which 6% is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7%.What is the value of the payment that will be exchanged in 3 months
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
