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The five-year swap rate when cash flows are exchanged semi-annually is 4.65%. A company wants a swap where it receives payments at 4.85% per annum
The five-year swap rate when cash flows are exchanged semi-annually is 4.65%. A company wants a swap where it receives payments at 4.85% per annum on a $15,000,000 notional principal. The OIS zero curve is flat at 4.6%. How much should a derivatives dealer charge the company? All rates are expressed with semi-annual compounding. (Ignore bid-ask spreads).
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