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XYZ and ABC enter a three year Plain Vanilla Interest Rate Swap. XYZ is paying 5% fixed with semi-annual compounding and receiving floating. The notional
XYZ and ABC enter a three year Plain Vanilla Interest Rate Swap. XYZ is paying 5% fixed with semi-annual compounding and receiving floating. The notional is $100 million. There are semi-annual cashflows.
If the realized libor rates are:
Period 1 4.2%
Period 2 4.8%
Period 3 5.3%
Period 4 5.5%
Period 5 5.6%
Period 6 5.9%
Draw a table showing the cashflows exchanged between ABC and XYZ.
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