10. A plain vanilla interest rate swap is written on a notional principal of €100m. The swap pays 3.6% per annum in return for the 3-month LIBOR. Payments are made every 6 months and the swap has 10 months remaining to maturity. The 3-month LIBOR 2 months ago was 3.2% per annum. The swap rate for all maturities is currently 3.8% with continuous compounding. What is the value, in Euros, of the swap to the party paying floating? a. -119,195.16 b. 1,941,376 c. 82,477.03 d. 83,001.04 e. -82,477.00

10. A plain vanilla interest rate swap is written on a notional principal of €100m. The swap pays 3.6% per annum in return for the 3-month LIBOR. Payments are made every 6 months and the swap has 10 months remaining to maturity. The 3-month LIBOR 2 months ago was 3.2% per annum. The swap rate for all maturities is currently 3.8% with continuous compounding. What is the value, in Euros, of the swap to the party paying floating? a. -119,195.16 b. 1,941,376 c. 82,477.03 d. 83,001.04 e. -82,477.00

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Consider a $15 million interest-rate swap in which cash flows based on a fixed rate of 5% (with semi-annual compounding) are exchanged for 6-month LIBOR. The swap has a remaining life of 9 months. The 6-month LIBOR that was observed three months ago was 4.85% (with semi-annual compounding). The forward LIBOR for the period between 3 months and 9 months (from today) is 6.14% (with semi-annual compounding). The risk-free rates for 3 months and 9 months are 5.3% and 5.8%, respectively, with continuous compounding. Calculate the value of the swap to the party receiving the fixed rate.
A plain vanilla 2-year interest rate swap with annual payments has a notional principal of $1 million. 4 month(s) into the swap, the term structure of interest rates is flat at 4.87%. The first floating-rate payment has already been set to 4.60%. The fixed payments are 4.99%. What is the value of this swap? Round to the nearest dollar.
Use the following information for questions 12-15: Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and to receive the 3-month LIBOR in return on a notional principal of $50 million with payments exchanged every 3 months. The swap has a remaining life of 14 months. The current rate being swapped for 3- month LIBOR is 11.8% per annum for all maturities. The 3-month LIBOR rate 1 month ago was 12% per annum. All rates are compounded quarterly.
Assume oat forward prices over the next 3 years are $2.30, $2.40, and $2.33, respectively. Effective annual interest rates over the same period are 5.5%, 5.8%, and 6.1%. What is the 3-year swap price if the delivery in year 1 is 100,000 bushels, the delivery in year 2 is 125,000 bushels and the delivery in year 3 is 175,000 bushels?
3
9
D3) Finance The current SOFRs for 3-month, 6-month and 9-month are 10.96%, 11.25% and 11.45%, respectively. What is annualized swap rate for the 9-month interest rate swap? %
A plain vanilla 2-year interest rate swap with annual payments has a notional principal of $1 million. 5 month(s) into the swap, the term structure of interest rates is flat at 4.70%. The first floating-rate payment has already been set to 5.00%. The fixed payments are 5.29%. What is the value of this swap? Please show steps Answer: -8310
A $30,000,000 interest rate swap has a 12-month maturity, and was entered 2 months ago. This means the swap has a remaining life of 10 months. The swap pays interest quarterly, and it stipulates that the fixed rate is 4.5%, while the floating rate is the 3-month LIBOR +1%. Two months ago, when the swap was entered, 3-month LIBOR was 2.9%. The 3-month LIBOR forward rates and continuous time zero-coupon prices are given in a table below. Use the zero coupon prices to discount cash-flows. 3-month LIBOR Forward Rates Term rate 1x4 2.90% 2x5 2.85% 3x6 2.84% 4x7 2.88% 5x8 2.90% 6x9 2.91% 7x10 2.92% 8x11 2.92% 9x12 2.92% Zero-Coupon prices T (month) Price 1 0.9976 2 0.9953 3 0.9929 4 0.9904 5 0.988 6 0.9856 7 0.9831 8 0.9807 9 0.9783 10 0.9761 11 0.9737 12 0.9712 (Important hint: since the swap was entered 2 months ago, and makes quarterly payments, in the remaining 10 months, payments should be expected in 1 month, 4 months, 7 months and 10 months. Discount cash flows accordingly.)…
H3. A 2-year swap based on LIBOR is entered into on 30/6/2010 with current spot 3 month LIBOR at 0.54%. The swap is based on a notional principal of $100m What is the swap rate? Please show proper step by step calculation
5. Suppose you have a 2.5-year remaining on an interest rate swap with a notional principal of $10,000, 000 between Company A and Company B. Company A pays fixed rate and Company B pays the float rate. Fixed and float payments are exchanged every year and the last payment was exchanged 6 months ago. The fixed rate is 3.5% per annum, and the floating rate is tied to the annual LIBOR. The previous 1-year LIBOR rate, set 6 months ago, is 2.75%, 6 month LIBOR is 3.25%. the 1.5-year LIBOR is 3.25%, and the 2.5-year LIBOR is 3.50%. Calculate the present value of the fixed and floating legs of the swap, and determine the swap's net present value from Company A's perspective. Assume annual compounding for discounting.
(mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are iS = 3.9% and i€ = 3.9%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.43/€ the next day and interest rates remain the same, your profit or loss for this day is S _. (Keep the sign and two decimal places.)

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