What is the value of the fixed-rate bond underlying the swap

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Reference no: EM13285034

Suppose that the yield curve is flat at 5% per annum with continuous compounding. A swap with a notional principal of $100 million in which 6% is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7%. Answer in millions of dollars to two decimal places.

(i) What is the value of the fixed-rate bond underlying the swap? _ _ _ _ _ _

(ii) What is the value of the floating-rate bond underlying the swap? _ _ _ _ _ _

(iii) What is the value of the payment that will be exchanged in 3 months? _ _ _ _ _ _

(iv) What is the value of the payment that will be exchanged in 9 months? _ _ _ _ _ _

(v) What is the value of the payment that will be exchanged in 15 months? _ _ _ _ _ _

(vi) What is the value of the swap? _ _ _ _ _ _

Reference no: EM13285034

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