Question
Under the terms of an interest rate swap, PDX Corp has agreed to receive 12% per annum and to pay six-month LIBOR in return on
Under the terms of an interest rate swap, PDX Corp has agreed to receive 12% per annum and to pay six-month LIBOR in return on a notional principal of $150 million with payments being exchanged every six months. The swap has a remaining life of 10 months. The six-month LIBOR yield curve is downward sloping and rate for next two payment dates are 11% and 13% per annum with continuous compounding. The six-month LIBOR at the last payment date was 11.5% per annum. (8 points)
(a) What is the value of the fixed-rate bond?
(b) What is the value of the floating-rate bond?
- What is the value of the swap to PDXs counterparty?
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Interne Revision In Verbundgruppen Und Franchise Systemen Verbreitung Und Qualit T Der Internen Revision In Unternehmensnetzwerken
Authors: Hans Ulrich Westhausen
1st. Aufl. 2016 Edition
3658121963, 978-3658121969
