Value of the floating-payer’s position on existing

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Reference no: EM131917334

1. If the fixed rate on a new par value 1-year swap was 4%, what is the value of the floating-payer’s position on an existing 6.5%/LIBOR swap with 1 year remaining to maturity and a notional principal of $5M? Assume semi-annual payments.

2. Consider a 5-year CDS with an average conditional default probability of 7.0%, recovery rate given default of 20%, a notional principal of $1.00, and a 5% discount rate. What is the equilibrium CDS spread?

Reference no: EM131917334

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