You are given the following discount factors: t (years) Z(0,t) 0.25 0.9900 0.5 0.9750 0.75 0.9634 1 0.9500 Consider a 1-yr pay fixed, receive floating swap with a notional principal of $1,000,000. Cash flows are exchanged every 3-months. The current swap rate is 8%. What is the approximate change in the value of the swap for a 1% increase in interest rates? 7,482 7,028 7,739 8,102 6,833
You are given the following discount factors: t (years) Z(0,t) 0.25 0.9900 0.5 0.9750 0.75 0.9634 1 0.9500 Consider a 1-yr pay fixed, receive floating swap with a notional principal of $1,000,000. Cash flows are exchanged every 3-months. The current swap rate is 8%. What is the approximate change in the value of the swap for a 1% increase in interest rates? 7,482 7,028 7,739 8,102 6,833
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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Transcribed Image Text:You are given the following discount factors:
t (years)
Z(0,t)
0.25
0.9900
0.5
0.9750
0.75
0.9634
1
0.9500
Consider a 1-yr pay fixed, receive floating swap with a notional principal of
$1,000,000. Cash flows are exchanged every 3-months. The current swap rate is
8%. What is the approximate change in the value of the swap for a 1% increase in
interest rates?
7,482
7,028
7,739
8,102
6,833
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