What is the value of a 5 year swap

Assignment Help Financial Econometrics
Reference no: EM131241191

1. What is the value of a 5-year swap where LIBOR is paid in the usual way and in return LIBOR compounded at LIBOR is received on the other side? The principal on both sides is $100 million. Payment dates on the pay side and compounding dates on the receive side are every 6 months and the yield curve is flat at 5% with semiannual compounding.

2. Explain carefully why a bank might choose to discount cash flows on a currency swap at a rate slightly different from LIBOR.

Reference no: EM131241191

Questions Cloud

Conduct an influence analysis and draw conclusions : Re-estimate the logistic regression without observation 14 in the data set. For both the model with and without this observation, compare confidence intervals for the parameters, and plot the estimated probability of O-ring failure against tempera..
What is value of a 2 year fixed for floating compound swap : What is the value of a 2-year fixed-for-floating compound swap where the principal is $100 million and payments are made semiannually.
Consider monopolist with production cost function : Consider a monopolist with production cost function 40 + 20x, where x is the amount produced. Let D(p) = 50 - p/2 be the demand-price relationship. What is the elasticity of demand at the price p = 20. At the price p = 44, if the monopolist wishes to..
Examine the deviance/df statistics for each model : Plot standardized residuals against fitted means for the model treating dose as categorical. There is no question about the linearity of the response or the appropriateness of the link function here. What does this plot suggest?
What is the value of a 5 year swap : What is the value of a 5-year swap where LIBOR is paid in the usual way and in return LIBOR compounded at LIBOR is received on the other side?
Is sufficient data to determine profit maximizing price : You face a market of 30,000 buyers divided into 2 segments (A and B). The two segments are potentially different. From each segment you have picked a random sample and offered them a price. Assume that the demand curve(s), as usual, is a straight lin..
Perform the osius-rojek and stukel tests and draw conclusion : Perform the Hosmer-Lemeshow test using 10 groups. State hypotheses, test statistic, p-value, and conclusions. Also, examine the Pearson residuals from the groupings and indicate whether they show any particular pattern.
What is the reasoning for each main claim : What are the main claims of the paper? What is the reasoning for each main claim? What evidence is provided? What did you get from the paper?
Calculate the value of the derivative : Calculate the value of the derivative. Assume that the volatility for all rates is 25%. What difference does it make if the payoff occurs in 5 years instead of 4 years?

Reviews

Write a Review

Financial Econometrics Questions & Answers

  How should ted go about crafting strategy to justify request

Ted Jones, the Surgery Unit Director, is about to choose his strategy for creating a capital expenditure funding proposal for the coming year. Ted's unit needs more room.

  What is daily dollar return that could be earned on savings

It takes Cookie Cutter Modular Homes, Inc., about six days to receive and deposit checks from customers. Cookie Cutter's management is considering a lockbox system to reduce the firm's collection times.

  What is the current share price for havanna tobacco

The growth rate in dividends is expected to be a constant 5 percent per year, indefinitely. Investors require a 16 percent return on the stock for the first three years, a 14 percent return for the next three years, and then a 10 percent return th..

  What is the npv of accepting the lockbox agreement

Your firm has an average receipt size of $175. A bank has approached you concerning a lockbox service that will decrease your total collection time by one day. You typically receive 5,900 checks per day.

  Calculate the firms long term debt for the year

During the year, Belyk Paving Co. had sales of $2,385,000. Cost of goods sold, administrative and selling expenses, and depreciation expense were $1,440,000, $436,500, and $491,500, respectively.

  Calculate the net present value of this project to company

Timo Corporation, an amusement park, is considering a capital investment in a new exhibit. The exhibit would cost $144,980 and have an estimated useful life of 9 years. It believes it can sell the exhibit for $72,400 at that time.

  Derive an approximate linear relationship

Derive an approximate linear relationship between the change in the portfolio value and thepercentage change in the exchange rate.

  Provide a brief summary of your analyses

Provide a brief summary of your analyses and comment on the future prospects of the bank. Would you recommend an investor to purchase the shares of that bank?

  Distinction between substitution and income effects

A friend says that the tax "generates no excess burden because it does not lead to changes in behaviour." Is this statement true or false? Explain using a simple labour-leisure choice model, and do not forget to make the distinction between substi..

  Explain the likely impact on the forecasts

A company uses an EWMA model for forecasting volatility. It decides to change the parameter λ from 0.95 to 0.85. Explain the likely impact on the forecasts.

  Determine what is the firms expected rate of return

dothan inc.'s stock has a 25% chance of producing a 17% return, a 50% chance of producing a 12% return, and a 25% chance of producing a -18% return. what is the firm's expected rate of return

  - what is corporate governance- what are the objectives and

- what is corporate governance?- what are the objectives and principles guiding corporate governance?- what are the

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd