What is the value of the swap in terms of both bonds and fra, Macroeconomics

Assignment Help:

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?

 

 


Related Discussions:- What is the value of the swap in terms of both bonds and fra

Rate of growth, Rate of Growth  Every country desires economic growth. ...

Rate of Growth  Every country desires economic growth. A country's economic performance is often judged on the basis of - among other things - the rates of growth it has manage

Underwrite stock for companies, When investment banks underwrite IPOs, they...

When investment banks underwrite IPOs, they are typically sell stock for 5-10 percent more than they pay for it. When they underwrite stock for companies that are already public, t

Outline two main restrictions by indian government applied t, outline two m...

outline two main restrictions by indian government applied to import. Using the data from your case study analyse and explain who would benefit directly and who would lose directly

What are the production elasticities of demand, The following Cobb-Douglas ...

The following Cobb-Douglas production function is used to describe the output generated by a local government maintenance agency. Q = αL β1 K β2 E β3 Where L represents numb

#title. phillip curve, what does phillip curve signify? how do you reconcil...

what does phillip curve signify? how do you reconcile the difference in the shap of the curve in the short run and the long run?

Relation between nominal and real interest rate, Q. Relation between nomina...

Q. Relation between nominal and real interest rate? Relation between nominal interest rate, real interest rate and inflation  If we signify the nominal interest rate by R

Balance of trade, Balance of T rade A country's present accoun...

Balance of T rade A country's present account reflects a money drain when exports exceed imports. The net distinction in-between the dollar value of a world imports an

Draw a typical frap curve and explain its different regions, 1. Describe th...

1. Describe the process of diffusion in cells (not more than 2 pages). 2. Derive the equation for Fick's second law. 3. Draw a typical FRAP curve and explain its different re

Difference between movement demand or supply curve, (A) What is the differe...

(A) What is the difference between a movement along a demand or supply curve and a shift of one of these curves? Why is it important to distinguish between the two? What mistake

Give example to calculate the price level, Give example to calculate the pr...

Give example to calculate the price level Imagine that we have created a particular basket of services and goods. We calculate price level at four different points in time duri

Write Your Message!

Captcha
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