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Two parties enter into a two-year fixed-for-floating interest rate swap with semi-annual payments. The floating-rate payments are based on LIBOR. The 180-, 360-, 540-, and
| Two parties enter into a two-year fixed-for-floating interest rate swap with semi-annual payments. The floating-rate payments are based on LIBOR. The 180-, 360-, 540-, and 720-day annualized LIBOR rates and present value factors are: | |||||||||
| Rate | Present value factor | ||||||||
| 180-day LIBOR | 5.50% | 0.9732 | |||||||
| 360-day LIBOR | 6.00% | 0.9434 | |||||||
| 540-day LIBOR | 6.50% | 0.9112 | |||||||
| 720-day LIBOR | 6.80% | 0.8803 | |||||||
| What is the (fixed) swap rate? |
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Public Finance
Authors: Steven G. Medema, Carl Sumner Shoup
1st Edition
0202307859, 978-0202307855
