An investor holds the fixed-payer position in a 7.69%/LIBOR swap with $7M notional principal, semi-annual payments, and exactly one-year remaining. What is the value of the existing fixed-payer position, if the swap rate for new one-year swaps with matching notional principal is 3.21%/LIBOR?
An investor holds the fixed-payer position in a 7.69%/LIBOR swap with $7M notional principal, semi-annual payments, and exactly one-year remaining. What is the value of the existing fixed-payer position, if the swap rate for new one-year swaps with matching notional principal is 3.21%/LIBOR?
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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![An investor holds the fixed-payer position in a 7.69%/LIBOR swap with $7M notional
principal, semi-annual payments, and exactly one-year remaining. What is the value of
the existing fixed-payer position, if the swap rate for new one-year swaps with
matching notional principal is 3.21%/LIBOR?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6cc3b24b-9153-4830-9462-59b908a976ba%2F014a6a10-8c12-4a82-8f3f-ec702142e300%2Fy339gps_processed.jpeg&w=3840&q=75)
Transcribed Image Text:An investor holds the fixed-payer position in a 7.69%/LIBOR swap with $7M notional
principal, semi-annual payments, and exactly one-year remaining. What is the value of
the existing fixed-payer position, if the swap rate for new one-year swaps with
matching notional principal is 3.21%/LIBOR?
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