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Your firm entered in a 4 year swap, with swap rate of 4.5% and quarterly payments with a notional of $250 million three months and
Your firm entered in a 4 year swap, with swap rate of 4.5% and quarterly payments with a notional of $250 million three months and a day ago. This is not a forward swap, meaning the clock for the first exchange starts from the day the contract was signed so the remaining life of the swap is 3.75 years as of today. What is the value of this swap now given that the current yield curve is given by:
t | Z |
0.25 | 0.9891 |
0.5 | 0.9798 |
0.75 | 0.9713 |
1 | 0.9633 |
1.25 | 0.9553 |
1.5 | 0.9473 |
1.75 | 0.9392 |
2 | 0.931 |
2.25 | 0.9227 |
2.5 | 0.9143 |
2.75 | 0.9059 |
3 | 0.8973 |
3.25 | 0.8888 |
3.5 | 0.8801 |
3.75 | 0.8714 |
4 | 0.8627 |
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