Question
The following table shows fixed swap rates against 1 year LIBOR for the relevant periods of time: Years 2 years.0.3000-0.3030 5 years.0.5500-0.5580 10 years1.0100- 1.0190
The following table shows fixed swap rates against 1 year LIBOR for the relevant periods of time:
Years
2 years.0.3000-0.3030
5 years.0.5500-0.5580
10 years1.0100- 1.0190
Suppose you entered into a 10 year swap, receiving LIBOR. 5 years go by and the new 5 year swap rate (ask) is
2.0190. What is the value of the swap to you?
Answer:
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
