Question
Your firm has quarterly floating rate payment obligations for the next year with a face value of $10mill. You enter into a pay fixed receive
Your firm has quarterly floating rate payment obligations for the next year with a face value of $10mill. You enter into a pay fixed receive floating swap with a fixed rate of 3.5%. Current 3 month LIBOR is 3.25%.
If the 3mth spot LIBOR rates in 3, 6 and 9 months are: 3.6%, 3.75% and 3.75%
What is the net settlement payment in 6 months time?
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International Financial Management
Authors: Cheol S. Eun, Bruce G.Resnick
6th Edition
71316973, 978-0071316972, 78034655, 978-0078034657
