Suppose that the yield curve is flat at 5 per annum with, Ask an Expert

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Suppose that the yield curve is flat at 5% per annum with continuous compounding. A swap with a notional principal of $100 million in which 6% is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7%. What is the value of the swap in terms of both bonds and FRAs?

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Macroeconomics, Economics

Category:- Macroeconomics
Reference No.:- M9535404

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