Question
Today is January 1. You are short 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 short 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. Today's 3-month LIBOR is 3.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 are quoted as 96.0 and 95.8. The swap rate is 3.7%. What is the value of this swap to you?
Question 6 options:
|
| $24,858 |
|
| -$24,858 |
|
| $65,289 |
|
| -$65,289 |
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Capital Market Finance
Authors: Patrice Poncet, Roland Portait, Igor Toder
1st Edition
3030845982, 978-3030845988
