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).
Step by Step Solution
3.47 Rating (144 Votes )
There are 3 Steps involved in it
Step: 1
To calculate the value of the swap we need to find the present value of the fixed leg 5 per annum pa...
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
