Question
Today is January 1. You are long a quarterly swap with a notional amount of $100 million that will mature in six months (i.e. on
Today is January 1. You are long a quarterly swap with a notional amount of $100 million that will mature in six months (i.e. on June 30). The reference rate is 3-month LIBOR. Todays 3-month LIBOR is 2.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 are quoted as 96.9 and 96.5. The swap rate is 2.7%. What is the value of this swap to you?
Question 4 options:
|
| $50,013 |
|
| -$50,013 |
|
| $73,252 |
|
| -$73,252 |
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
11th Edition
0321357965, 978-0321357960
