Solution-Bbsw rate on the next payment

Bbsw rate on the next payment

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Reference no: EM133069532

Insurance company, IHI, is part of a swap agreement with investment bank Lachlin Bank on a notional principal of $80 million. IHI has agreed to pay Lachlin Bank the six month BBSW rate and receives 11% pa, convertible half-yearly. If the swap has a residual life of 18 months, and the next interest payment is due in six months, calculate the value of the swap for Lachlin, given BBSW rates (compounding continuously) for the corresponding 6, 12 and 18 month maturities are 10.9% pa, 11.07% pa, 11.31% pa and the half year BBSW rate on the next payment is known to be 10% pa compounding half-yearly. Give your answer in millions of dollars to 2 decimal places.

Value = $___________million

Reference no: EM133069532

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Bbsw rate on the next payment

Reference no: EM133069532

Reference no: EM133069532

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