Problem 7.20 Table 7.3 Bid and offer fixed rates in the swap market and swap...
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Problem 7.20 Table 7.3 Bid and offer fixed rates in the swap market and swap rates (percent per annum). Maturity (years) Bid Offer Swap rate 2 6.03 6.06 6.045 3 6.21 6.24 6.225 6.35 6.39 6.370 5 6.47 6.51 6.490 6.65 6.68 6,665 10 6.83 6.87 6.850 (a) Company A has been offered the rates shown in Table 7.3. It can borrow for three years at 6.45%. What floating rate can it swap this fixed rate into? (b) Company B has been offered the rates shown in Table 7.3. It can borrow for 5 years at LIBOR plus 75 basis points. What fixed rate can it swap this floating rate into
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