In an existing (not new) interest rate swap, your company re

Assignment Help Finance In an existing (not new) interest rate swap, your company re

Finance

In an existing (not new) interest rate swap, your company re

In an existing (not new) interest rate swap, your company receives 5.00% (fixed) per annum and pays… Show more In an existing (not new) interest rate swap, your company receives 5.00% (fixed) per annum and pays 3 month LIBOR in return on a notional principal of $100 million with payments being exchanged every 3 months. The swap has a remaining life of 13 months. This implies the next cash flow will be exchanged in 1 month and the last exchange occurred 2 months ago. The current LIBOR rates for different maturities are given as follows. Maturity LIBOR (with continuous compounding) 1 month 3.00% 4 months 3.25% 7 months 3.50% 10 months 3.75% 12 months 4.00% On the other hand, the 3 month LIBOR rate 2 months ago (when the last cash exchange occurred) was 4.00% per annum with quarterly compounding. What is the current value of this swap to your company? Please show all calculations. • Show less

Order Now

Ready to try a high quality writing service? Get a discount here
AllEscort