What is the value of the swap in terms of both bonds and fra, Macroeconomics

Suppose that the yield curve is flat at 5% per annum with continuous compounding. A swap with a notional principal of $100 million in which 6% 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%. What is the value of the swap in terms of both bonds and FRAs?

 

 

Posted Date: 4/5/2013 6:27:38 AM | Location : United States







Related Discussions:- What is the value of the swap in terms of both bonds and fra, Assignment Help, Ask Question on What is the value of the swap in terms of both bonds and fra, Get Answer, Expert's Help, What is the value of the swap in terms of both bonds and fra Discussions

Write discussion on What is the value of the swap in terms of both bonds and fra
Your posts are moderated
Related Questions
Crowding out would most likely occur when: A. the Congress enacts budget cuts to balance the budget. B. workers lose jobs as a result of anti-inflationary fiscal policies. C. the f

Assume a competitive industry with two hospitals. The hospitals compete in price (such that P = MC ), face the inverse demand curve =10 - Q , and have a constant marginal cost of

How could utility theory help us understand the difference between a federal income tax and a federal sales tax on consumer consumption patterns?

Review the Federal Reserve Board website. Identify at least five key pieces of data (links) you would use in microeconomic decision making on the Web site, and tell what data that

state the term fall in the exchange rate A fall in the exchange rate must make UK exports price competitive in international markets and increase demand for them. This should

Many investors and financial analysts believe the Dow Jones Industrial Average (DJIA) provides a good barometer of the overall stock market. On January 31, 2006, 9 of the 30 stocks

critically analyse the ways at which the govement of zimbabwe has put in place to address unequal employment opportunitiesbetween men andwomen

Calculating interest rates on a yearly basis If the maturity is different from one year, the interest rate is usually recalculated to a corresponding one year rate. For example

To determine whether high blood pressure affected whether a person had a stroke, a sample of 129 people who had had strokes are examined. In the sample, 39% had high blood pressure

(I am providing them below) of Module 5 before beginning this assignment.  You will have the opportunity to work through much of the assignment during the group activity for week 1