Pricing Interest Rate Swap A. Price a plain vanilla one-year interest rate swap...
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Finance
Pricing Interest Rate Swap
A. Price a plain vanilla one-year interest rate swap with quarterly settlements and $100 million notional principal. The current term structure of LIBOR is given in the table below. Use the 30/360 day count method.
B. What is the quarterly fixed rate payment?
Term structure of interst rates
Maturity
90
5.85%
180
5.85%
270
6.24%
360
6.65%
NP
$100,000,000
Settlement period
90
days
Day count (30/360)
360
days
Answer & Explanation
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