Question
The current Commerical Paper (CP) spot rates are below. Consider a swap with $100,000 notional amount Days % 90 6% 180 6.25% 270 6.50% The
The current Commerical Paper (CP) spot rates are below. Consider a swap with $100,000 notional amount
Days %
90 6%
180 6.25%
270 6.50%
The fixed plain vanilla swap rate for a 270-day swap with settlements every 90 days rounded to two decimals in percent but omitting the percent sign is _______
Given the following t= 60 spot rates and the corresponding zero-coupon bond prices the value of the swap 60-days after inception from the point of view of a company paying fixed and receiving the floating rate is ______________
(include the notional amount and round your answer to two decimals)
Days L0,days B0, days
30 6% 0.995
120 6.60% 0.9785
210 6.80% 0.9618
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