What is the current value of this swap to your company

Assignment Help Finance Basics

Reference no: EM13272377

In an existing (not new) interest rate swap, your company receives 3.50% (fixed) per annum and pays 3-month LIBOR in return on a notional principal of $100 million with cash payments being exchanged every 3 months. The swap contract has a remaining life of 14 months so the next cash exchanges will happen in 2 months, 5 months, 8 months, 11 months and 14 months. The last cash exchange happened 1 month ago and the 3-month LIBOR was 3.00% per annum with quarterly compounding. The current LIBOR rates for different maturities are given as follows.

Maturity	LIBOR per annum with continuous compounding
2 months	2.75%
5 months	3.00%
8 months	3.25%
11 months	3.50%
14 months	3.75%

What is the current value of this swap to your company?

Reference no: EM13272377

Questions Cloud

Explain what velocity must an electron have in order : What velocity must an electron have in order to have a de Broglie wavelength of 1.00 A? What velocity must a proton have in order to have the same de Broglie wavelength

Explain a chloro is the same size as a methyl group : For 1-Chloropropane, draw 3 eclipsed, 2 gauche, and 1 anti conformations. Assume a chloro is the same size as a methyl group.

Determine what is the refractive index of the glass : Light traveling in air strikes a glass plate at an angle θ1 = 33 degrees, where θ1 is measured between the incoming ray and the glass surface. Upon striking the glass, part of the beam is reflected and part is refracted.

Explain what is the wavelength of a baseball : What is the wavelength of a baseball having mass 100.0 g traveling at a speed of 160 km/hr? What is the wavelength of an electron traveling at the same speed

What is the current value of this swap to your company : he last cash exchange happened 1 month ago and the 3-month LIBOR was 3.00% per annum with quarterly compounding. The current LIBOR rates for different maturities are given as follows.

Explain ammonia rapidly reacts with hydrogen chloride : Ammonia rapidly reacts with Hydrogen Chloride, making ammonium chloride. Calculate the number of grams of excess reactant when 3.80g of NH3 reacts with 4.20g of HCl

What is the 3-month interest rate the bank can lock in today : Suppose a bank needs to borrow (not lend) $20 million for 3 months starting in December 2016. If the bank wants to lock in the borrowing interest rate now, what should it do? Be specific about.

Determine the mathematical expression for y : A continuous time system is described by y(t) = t tan(x(t)). The continuous time system is sampled every T seconds to obtain a discrete time system y[n]. determine the mathematical expression for y[n].

What is the net investment in the project : The equipment's basic price is $50,000, and it will cost another $10,000 to modify the equipment for special use by your firm.

User Account

All Pages