Question
What is the value of a swap with two years to maturity where SOFR is received and 5% per annum is paid (with semi-annual compounding)
What is the value of a swap with two years to maturity where SOFR is received and 5% per annum is paid (with semi-annual compounding) every six months on a $1,000,000 notional principal. Assume the OIS rates are 4.1% for all maturities (with continuous compounding).
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The Palgrave Handbook Of Government Budget Forecasting
Authors: Daniel Williams, Thad Calabrese
1st Edition
3030181944, 978-3030181949
