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Business, 09.03.2021 04:10 mprjug6

A $200 million interest rate swap has a remaining life of ten months. Under the terms of the swap, six-month LIBOR is exchanged for 9% per annum (compounded semiannually). The average of the bid and ask rate being exchanged for six-month LIBOR in swaps of all maturities is currently 6% per annum with continuous compounding (i. e. the yield curve is flat at 6%). The six-month LIBOR rate was 7% per annum two months ago. What is the current value of the swap to the party paying floating

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A $200 million interest rate swap has a remaining life of ten months. Under the terms of the swap, s...
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