Ask Question, Ask an Expert

+1-415-315-9853

info@mywordsolution.com

Ask Basic Finance Expert

In the existing interest rate swap, the company receives 5.00% (fixed) per annum and pays three month LIBOR in return on the theoretical principal of $100 million with payments being swapped every three months. Swap has the enduring life of 13 months. This involves the next cashflow will be swapped in one month and last exchange happened two months ago. The present LIBOR rates for various maturities are listed below.

Maturity LIBOR (with continuouscompounding)

1 month 3.00%
4 months 3.25%
7 months 3.50%
10 months 3.75%
13 months 4.00%

On other hand, the three month LIBOR rate two months ago (when last cash exchange happened) was 4.00% per annum with quarterly compounding. Determine the present value of this swap to your company?

Basic Finance, Finance

  • Category:- Basic Finance
  • Reference No.:- M914108

Have any Question? 


Related Questions in Basic Finance

Consider the arma11 model ytnbsp- 08yt-1nbsp atnbsp

Consider the ARMA(1,1) model y t  - 0.8y t-1  = a t  + 0.4a t-1  with a t  ∼ N (0, 0.49). Convert the model into a state-space form using (a) Akaike's method, (b) Harvey's approach, and (c) Aoki's approach.

Explain how a recessionary output gap would emerge in an

Explain how a recessionary output gap would emerge in an economy where the long-run aggregate supply curve is persistently shifting to the right.

On december 18 2015 stephanie corporation acquired 100

On December 18. 2015. Stephanie Corporation acquired 100 percent of a Swiss company for 4.0 million Swiss francs (CHF): which is indicative of book and fair value At the acquisition date, the exchange rate was $1.00 = CH ...

Assignment financial reporting standards in germanyuse

Assignment: Financial Reporting Standards in Germany Use inductive or deductive methods to correlate Germany's history with its financial reporting standards. Requirements: 1. Identify historical events that led to the i ...

Bond pricingall bonds have some common characteristics but

Bond Pricing. All bonds have some common characteristics, but they do not always have the same contractual features. Differences in contractual provisions, and in the underlying strength of the companies backing the bond ...

The probability of an engines failing during a 30-day

The probability of an engine's failing during a 30-day acceptance test is 0.3 under adverse environmental conditions. Eight engines are included in such a test. What is the probability of (i) none will fail and (ii) more ...

Explain the difference between aggregate demand and the

Explain the difference between aggregate demand and the aggregate quantity demanded of real output. Ceteris paribus, how is quantity demanded related to the overall price level?

For each of the given explain whether the response is

For each of the given, explain whether the response is theoretically consistent with a tightening of monetary policy and identify which of the traditional channels of monetary policy is at work: a. Firms become more like ...

Questionsa list and briefly describe the three general

Questions A. List and briefly describe the three general areas of responsibility for a chief financial officer (CFO) of a selected non-financial company which is listed on Australian Stock Exchange (ASX). Explain how tho ...

Detailsiron ore what iow casting company is considering

Details: Iron Ore What? (IOW) Casting Company is considering adding a new line to its product mix. Sydney Johnson, a recently minted MBA, will be conducting the capital budgeting analysis. The new production line would b ...

  • 4,153,160 Questions Asked
  • 13,132 Experts
  • 2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

A cola-dispensing machine is set to dispense 9 ounces of

A cola-dispensing machine is set to dispense 9 ounces of cola per cup, with a standard deviation of 1.0 ounce. The manuf

What is marketingbullwhat is marketing think back to your

What is Marketing? • "What is marketing"? Think back to your impressions before you started this class versus how you

Question -your client david smith runs a small it

QUESTION - Your client, David Smith runs a small IT consulting business specialising in computer software and techno

Inspection of a random sample of 22 aircraft showed that 15

Inspection of a random sample of 22 aircraft showed that 15 needed repairs to fix a wiring problem that might compromise

Effective hrmquestionhow can an effective hrm system help

Effective HRM Question How can an effective HRM system help facilitate the achievement of an organization's strate