Problema company enters into a 35 million notional, Ask an Expert

Finance

Problem:

A company enters into a $35 million notional principal interest rate swap. (Pay fixed, receive floating at LIBOR)

The pay is made every 90days for one year. (Adjustment factor : 90/360)

The term structure of LIBOR = 90days: 7%, 180days: 7.25%, 270days: 7.45%, 360days: 7.55%

Assume that it is now 30 days into the life of the swap.

The new term structure of LIBOR becomes= 90days: 6.8%, 180days: 7.05%, 270days: 7.15%, 360days: 7.2%

Required:

Question: What is the value of the swap?

Note: Please provide step by step solution.

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Basic Finance, Finance

Category:- Basic Finance
Reference No.:- M91174159

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