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You enter a 1-year pay-fixed receive floating interest rate swap with semi-annual payments on a notional principal of $35 million and the current term structure
You enter a 1-year pay-fixed receive floating interest rate swap with semi-annual payments on a notional principal of $35 million and the current term structure of interest rates is below based on a 360-day year.
L0(180) = | 0.033 |
L0(360) = | 0.043 |
- What is the swap fixed rate?
- What is the first net payment?
- If two months later, the new term structure of interest rates is given below, then what is the value of the swap at that time?
L60(120) = | 0.025 |
L60(300) = | 0.035 |
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