20. Consider a forward swap, where you agree at time 0 to enter into a...
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20. Consider a forward swap, where you agree at time 0 to enter into a swap contract with a counterparty at time T to receive floating in return for paying fixed, until a time T", at a predetermined swap rate f. At time t, the value of a zero-coupon bond maturing at time T is $80. The current forward price of a coupon bond with a coupor rate equal to the forward swap rate fis Pwd(t,T.T) 90. Currently, at time t, what is this forward swap worth to you? a. -$8 b. $8 c. $9 d. -$9 e. None of the above
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