fixed and receiving floating every quarter, according to the 3-month rate al amount of $10 million. Following is the rates information when swap v d, the rates information three months ago, and the rates information to I rates are annual and quarterly compounding. Keep at least 6 decimal po your calculation.
fixed and receiving floating every quarter, according to the 3-month rate al amount of $10 million. Following is the rates information when swap v d, the rates information three months ago, and the rates information to I rates are annual and quarterly compounding. Keep at least 6 decimal po your calculation.
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
Related questions
Question
![Six months ago, Thomas Group entered a one-year interest rate swap with its bank,
paying fixed and receiving floating every quarter, according to the 3-month rate with
nominal amount of $10 million. Following is the rates information when swap was
entered, the rates information three months ago, and the rates information today. Note
that all rates are annual and quarterly compounding. Keep at least 6 decimal points
during your calculation.
3-month
6-month
9-month
12-month
Six Months Ago
3.50%
3.80%
4.00%
4.00%
Three Months Ago
3.80%
4.00%
4.50%
4.80%
Now
4.80%
4.80%
5.00%
5.20%
a. What are the amounts of money Thomas Group received or paid over past six
months?
b. What is the current market value of the interest rate swap Thomas Group is
holding?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fb68a88c7-1619-44b1-a214-1d530c28d190%2F8a3796e7-48c4-47e3-bcdf-07657b96b99e%2F3ihmipi_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Six months ago, Thomas Group entered a one-year interest rate swap with its bank,
paying fixed and receiving floating every quarter, according to the 3-month rate with
nominal amount of $10 million. Following is the rates information when swap was
entered, the rates information three months ago, and the rates information today. Note
that all rates are annual and quarterly compounding. Keep at least 6 decimal points
during your calculation.
3-month
6-month
9-month
12-month
Six Months Ago
3.50%
3.80%
4.00%
4.00%
Three Months Ago
3.80%
4.00%
4.50%
4.80%
Now
4.80%
4.80%
5.00%
5.20%
a. What are the amounts of money Thomas Group received or paid over past six
months?
b. What is the current market value of the interest rate swap Thomas Group is
holding?
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