Business, 30.10.2021 14:00 zitterkoph

In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. Three-month forward LIBOR for all maturities is currently 4% per annum. The three-month LIBOR rate one month ago was 3.2% per annum. OIS rates for all maturities are currently 3.8% with continuous compounding. All other rates are compounded quarterly. What is the value of the swap?

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In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive th...

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