Question
You enter into a deferred interest rate swap with a notional of $5 million that starts two years from now and matures five years from
You enter into a deferred interest rate swap with a notional of $5 million that starts two years from now and matures five years from now.
You receive floating payments based on one-year LIBOR and pay a fixed payment annually with the first payment due in three years.
Below, you are given prices of zero coupon bonds based on LIBOR spot rates.
| Years to Maturity | 1 | 2 | 3 | 4 | 5 |
|---|---|---|---|---|---|
| Zero-coupon Bond Price | 0.987 | 0.960 | 0.935 | 0.901 | 0.858 |
What is the annual fixed payment that you will make on the swap?
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Inside Accounting The Sociology Of Financial Reporting And Auditing
Authors: David Leung
1st Edition
1138251178, 9781138251175
