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Two swap payment due exactly in 180 days for first legs, exactly one year for final legs. Value is equivalent to fixed receiver and floating receiver. Fixed rate is 3%, future six month rate is 3.25%, Notional amounts are equivalent for both counterparties at $100,000. Spot inception is 2.9%.

How much is future floating rate for the second 6 month period?

If spot LIBOR ends up dropping steadily to 2.6%, which counterparty would benefit from having entered the swap?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92341389

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