Value an interest rate swap where a bank is paying 7% annually and is receiving 3-month LIBOR in return on a notional principal of $100
Value an interest rate swap where a bank is paying 7% annually and is receiving 3-month LIBOR in return on a notional principal of $100 million with payments exchanged quarterly. The swap has 14 months remaining. The swap rate for 3-month LIBOR is 8% for all maturities. The 3-month LIBOR rate one month ago was 7.4% per annum. Assume all rates are compounded quarterly.
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Authors: Judith J. Baker, R.W. Baker
3rd Edition
076377894X, 978-0763778941
