Libor-for-fixed swap floating-rate leg using ois discounting

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Reference no: EM131567228

A 2-year 5.0% LIBOR-for-fixed swap with a notional value of USD 1,000 is trading at par. The 1-year OIS rate is 4.0% while the 2-year OIS rate is 4.5%. Assuming annual payments and compounding, what is the value of the LIBOR-for-fixed swap's floating-rate leg using OIS discounting? A. USD 963.81 B. USD 1,000.00 C. USD 1,009.60 D. USD 1, 100.00.

Reference no: EM131567228

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