rahul.goyl
Member
Hi David,
I got another Problem on IRS ? I think this is tricky one to solve. Always appreciate for your quick respond.
A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six month LIBOR is exchanged for 12% per annum (compounded semi-annually). The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 10% per annum with continuous compounding. The six-month LIBOR rate was 9.6% per annum two months ago. What is the current value of the swap to the party paying floating?
Choose one answer.
a. $ 2.064 million
b. $ 10.245 million
c. (-) $ 2.064 million
d. $ 1.964 million
Thanks
Rahul
I got another Problem on IRS ? I think this is tricky one to solve. Always appreciate for your quick respond.
A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six month LIBOR is exchanged for 12% per annum (compounded semi-annually). The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 10% per annum with continuous compounding. The six-month LIBOR rate was 9.6% per annum two months ago. What is the current value of the swap to the party paying floating?
Choose one answer.
a. $ 2.064 million
b. $ 10.245 million
c. (-) $ 2.064 million
d. $ 1.964 million
Thanks
Rahul