Question
You are the pay fixed leg of a $1m swap with quarterly payment for one year. The annualized 90-, 180-, 270- and 360-day LIBOR rates
You are the pay fixed leg of a $1m swap with quarterly payment for one year. The annualized 90-, 180-, 270- and 360-day LIBOR rates are 1%, 1.5%, 1.75% and 2% respectively. What is your first quarterly payment in $ on day 90?
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A. $4,787.95
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B. $4,312.64
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C. $3,906.25
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D. $4,954.60
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Continuous Time Finance
Authors: Robert C. Merton
1st Edition
0631185089, 978-0631185086
