Use the data from Q5, and given the following annualized interest rates: r(30) = 4.0%; r(120) = 4.5%; r(210) = 5.0%, and; r(300) = 5.5% sixty days after the initiation of the pay-fixed swap. If the pay-fixed and receive-floating swap is to mark-to-the-market now, who pays whom and how much? Use $5m notional principal. Pay-fixed leg pays $24,214.41 to pay-floating leg. Pay-floating leg pays $24,214.41 to pay-fixed leg. Pay-fixed leg pays $25,455.45 to pay-floating leg. Pay-floating leg pays $25,455.45 to pay-fixed leg.
Use the data from Q5, and given the following annualized interest rates: r(30) = 4.0%; r(120) = 4.5%; r(210) = 5.0%, and; r(300) = 5.5% sixty days after the initiation of the pay-fixed swap. If the pay-fixed and receive-floating swap is to mark-to-the-market now, who pays whom and how much? Use $5m notional principal. Pay-fixed leg pays $24,214.41 to pay-floating leg. Pay-floating leg pays $24,214.41 to pay-fixed leg. Pay-fixed leg pays $25,455.45 to pay-floating leg. Pay-floating leg pays $25,455.45 to pay-fixed leg.
Chapter5: Currency Derivatives
Section: Chapter Questions
Problem 3BIC
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Transcribed Image Text:Use the data from Q5, and given the following annualized interest rates: r(30) = 4.0%; r(120)
= 4.5%; r(210) = 5.0%, and; r(300) = 5.5% sixty days after the initiation of the pay-fixed
swap. If the pay-fixed and receive-floating swap is to mark-to-the-market now, who pays
whom and how much? Use $5m notional principal.
Pay-fixed leg pays $24,214.41 to pay-floating leg.
Pay-floating leg pays $24,214.41 to pay-fixed leg.
Pay-fixed leg pays $25,455.45 to pay-floating leg.
Pay-floating leg pays $25,455.45 to pay-fixed leg.
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