Question
You entered in to a swap a while back where you pay 6.10% per annum on $30,000,000 and you receive the 1-year LIBOR rate. At
You entered in to a swap a while back where you pay 6.10% per annum on $30,000,000 and you receive the 1-year LIBOR rate. At the last settlement date the 1-year LIBOR rate was 5.75% per annum. The swap expires in 4.5 years and the following LIBOR rates are provided per annum with continuous compounding.
Years LIBOR
0.5 5.80%
1.5 6.00%
2.5 6.00%
3.5 6.00%
4.5% 6.20%
What is the value of the swap from your prospective?
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Financial Reporting and Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
7th edition
1259722651, 978-1259722653
