Current value of swap to party paying floating

Assignment Help Financial Management
Reference no: EM132007446

A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 4% per annum (compounded semiannually). Six-month LIBOR forward rates for all maturities are 3% (with semiannual compounding). The six-month LIBOR rate was 2.4% annum two months ago. OIS rates for all maturities are 2.7% with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

Reference no: EM132007446

Questions Cloud

Find the future value for the money market hedge : Explain the process of a money market hedge and compute the dollar cost of meeting the yen obligation. Find the future value for the money market hedge?
The current rate for two-year treasury security : According to the unbiased expectations theory, what should be the current rate for a two-year Treasury security?
What is the play break-even point : Max Bialystock and Leo Bloom own and operate a theatrical production company. What is the play’s break-even point?
Consider two put options differing only by exercise price : Consider two put options differing only by exercise price. The one with the higher exercise price has
Current value of swap to party paying floating : What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?
Affordable care act is determined to be constitution : Kimble is considering opening pediatric hospital, financial performance of which will depend on whether the Affordable Care Act is determined to be constitution
What will the loan balance be at the end of year five : What are the monthly payments? What will the loan balance be at the end of year five?
How much will you pay for the policy : If the required return on this investment is 6 percent, how much will you pay for the policy?
Ratios are used to analyze activities in areas : Ratios are used to analyze activities in the following areas:

Reviews

Write a Review

Financial Management Questions & Answers

  Evaluating capital budgeting project

As a financial analyst, you are tasked with evaluating a capital budgeting project. You were instructed to use the IRR method and you need to determine an appropriate hurdle rate. The risk-free rate is 4% and the expected market rate of return is 11%..

  What is the project net present value

If the discount rate of 8.4 percent, what is the project's net present value?

  Simple rate of return on bond

You have just purchased a 10 year, $1000 par value bond. the coupon rate on this bond is 5.5 percent annually with interest being paid each 6 months. If you expect to earn a 10.2 simple rate of return on this bond, how much do you pay for it?

  What is the approximate market value of the bond

A ten-year bond pays 7% interest on a $1000 face value annually. If it currently sells for $1,195, what is its approximate yield to maturity? A 15-year zero-coupon bond was issued with a $1000 par value to yield 8%. What is the approximate market val..

  What makes home equity loan different from other loans

What are the ways the fund of funds create value. What makes a home equity loan different from other loans?

  Calculate standard deviation of the monthly rates of return

Calculate the standard deviation of the monthly rates of return for each share and the market.

  What is the yield on risk free securities

Assume that interest rate parity holds. In both the spot market and the 90 day forward market, 1 Japanese yen equals 0.0086 dollar. In Japan 90 day risk free securities yield 4.6%. What is the yield on 90 day risk free securities in the United States..

  Find the pretax cost of debt

If instead you know that the aftertax cost of debt is 5.9 percent, what is the cost of equity? (Do not round your intermediate calculations.)

  Find the price for a call option with the inputs

Use the Black-Scholes Model to find the price for a call option with the following inputs:

  Probability of default of the borrower and recovery rate

The market risk premium positively depends on the probability of default of the borrower and the recovery rate.

  Invest now in order to have the same amount of money

How much money should he invest now in order to have the same amount of money in 10 years as Hailey?

  What is effective annual cost

What is the effective annual cost of Nisaa & Brandon Company if it chooses not to take the discount and makes it payment on day 55?

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd