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
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Advanced Modelling In Mathematical Finance
Authors: Jan Kallsen, Antonis Papapantoleon
1st Edition
3319458736, 978-3319458731
