Compute the initial price of swaption that matures at time

Assignment Help Financial Management

Reference no: EM131892575

Compute the initial price of a swaption that matures at time t=5 and has a strike of 0. The underlying swap is the same swap as described in the previous question with a notional of 1 million. To be clear, you should assume that if the swaption is exercised at t=5 then the owner of the swaption will receive all cash-flows from the underlying swap from times t=6 to t=11 inclusive.

(The swaption strike of 0 should also not be confused with the fixed rate of 4.5% on the underlying swap.)

Underlying Swap: initial value of a forward-starting swap that begins at t=1, with maturity t=10 and a fixed rate of 4.5%. (The first payment then takes place at t=2 and the final payment takes place at t=11 as we are assuming, as usual, that payments take place in arrears.) You should assume a swap notional of 1 million and assume that you receive floating and pay fixed.) is equal to 33,374.

Reference no: EM131892575

Questions Cloud

Prepare a rough draft for the essay assigned for the module : Prepare a rough draft for the essay assigned for the Module Case. Prepare a References Page for the essay assigned for the Module Case.

Describe the research design : Identify 2 existing research sources cited in the article. What information is cited from the existing source?

Values to achieve a positive outcome : The global values guide the way that we interact with each other and help to create our open, friendly and supportive culture

Demonstrate the ability to make and support persuasive claim : Demonstrate the ability to make and support a Persuasive claim in a well-supported, organized, and cohesive essay.

Compute the initial price of swaption that matures at time : Compute the initial price of a swaption that matures at time t=5 and has a strike of 0

Explain the poverty paradox : Explain the poverty paradox and its pernicious effect on urban educational performance outcomes.

Describe specific elements of the works : Choose two (2) of the following late 20th century African-American artists, and compare and contrast their art: Bearden, Lawrence, Basquiat, or Colescott.

Ethical conduct of law enforcement officers : What are the boundaries of Legal aspects of ethics and ethical conduct of law enforcement officers?

Peer reviewed article and a scholarly article : What is the difference between a peer reviewed article and a scholarly article?

User Account

All Pages