What is the current value of the swap

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Reference no: EM133233530

You entered into a 2-year interest rate swap three months ago in which you are the receiver (you receive fixed and pay floating). The yield to maturity of a 2-year fixed coupon bond three months ago was 7%. The 6-month LIBOR rate three months ago was 5.5% p.a. Interest is repaid every 6 months. The face value is $1000. The current yield to maturity of a 21-month fixed coupon bond is 8% p.a. What is the current value of the swap to you? Choose the closest answer.

Reference no: EM133233530

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