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
Why and how does free trade help the U.S. economy? How might free trade hurt the U.S. economy?

Suppose we're modeling an economy using the Solow model. It begins in steady state. By what proportion does y? (the post-change steady-state per capita GDP) change in response to t

Define the term - Productivity Productivity is the concept which measures how outputs can be maximised from given inputs. In factories labour productivity is normally calculate

What is total surplus in net gain? Total surplus in net gain: The total surplus generated into a market is the total net gain to consumers and producers through trading into

Between 2007 and 2009 the U.S. economy experienced a severe recession. In an effort to stimulate the economy, the federal government passed a stimulus package. Explain the federal

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

Your Assignment is to find a news article involving a legal issue that interests you and report on it in the Discussion Board. Please provide a link to the article so that others c

Examine the efficiency of quanttitative credit control instrument

Using the equilibrium in the labor market and the model IS-LM explain the different behavior described by the classic and keynessian schools when there is an increase in public spe

Q. AS-AD model with inflation? When we have inflation, both AD curve and AS curve will be gliding. 'The glide rate' of the AD curve is given by Π M whereas it is Π W that appli