Business, 26.10.2021 01:00 catchonyet

Suppose that the yield curve is flat at 5% per annum with continuous compounding. A five-year swap with a notional principal of $100 million in which 6% per annum with semi-annual compounding is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7% per annum with semi-annual compounding. Answer in millions of dollars to two decimal places. Requried:
a. What is the value of the fixed-rate bond underlying the swap?
b. What is the value of the floating-rate bond underlying the swap?
c. What is the value of the payment that will be exchanged in 3 months?
d. What is the value of the payment that will be exchanged in 9 months?
e. What is the value of the payment that will be exchanged in 15 months?
f. What is the value of the swap?

Answers: 1

Show answers

Another question on Business

Business, 22.06.2019 04:40

Dahlia enterprises needs someone to supply it with 127,000 cartons of machine screws per year to support its manufacturing needs over the next five years, and you’ve decided to bid on the contract. it will cost you $940,000 to install the equipment necessary to start production; you’ll depreciate this cost straight-line to zero over the project’s life. you estimate that in five years, this equipment can be salvaged for $77,000. your fixed production costs will be $332,000 per year, and your variable production costs should be $11.00 per carton. you also need an initial investment in net working capital of $82,000. if your tax rate is 30 percent and your required return is 11 percent on your investment, what bid price should you submit? (do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16))

Answers: 3

Answer

Business, 22.06.2019 11:00

Alocal barnes and noble bookstore ordered 80 marketing books but received 60 books. what percent of the order was missing?

Answers: 1

Answer

Business, 22.06.2019 13:30

1. is the act of declaring a drivers license void and terminated when it is determined that the license was issued through error or fraud.

Answers: 2

Answer

Business, 23.06.2019 06:30

Will mark the ! hurry ! drag and drop the ethnic group to identify the country where it is the majority. ethnic groups may be used more than once. match to the right boxcristian greeks. arabs. persiansiran qatar cyprus iraq

Answers: 1

Answer

You know the right answer?

Suppose that the yield curve is flat at 5% per annum with continuous compounding. A five-year swap w...

Questions