What is the value of the swap

Assignment Help Business Management
Reference no: EM132893794

Suppose that some time ago a financial institution entered into a swap where it agreed to make semiannual payments at a rate of 3.5% per annum and receive LIBOR on a notional principal of $300 million. The swap now has a remaining life of 1.15 years. Payments will therefore be made 0.15, 0.65, and 1.15 years from today. The risk-free rates with continuous compounding for maturities of 0.15, 0.65, and 1.15 years are 2.8%, 3.2%, and 3.4%, respectively. We suppose that the forward LIBOR rates for the 0.15-to-0.65 year and the 0.65-to-1.15 year periods are 3.4% and 3.7%, respectively, with semiannual compounding. The LIBOR rate applicable to the exchange in 0.15 years was determined 0.35 years ago. Suppose it is 2.9% with semiannual compounding.

What is the value of the swap (in $ millions)?

Reference no: EM132893794

Questions Cloud

Major aspect of leadership theories and practices : What combinations or patterns of traits are likely to be most predictive of leadership outcomes at different levels of an organization (low, middle, and upper)?
Analogy supposed to reveal about economic efficiency : What is this analogy supposed to reveal about the 'economic efficiency" (sometimes called "Classical") argument?
What are the limitations of authoritarian decision making : 1.Do you prefer to make decisions in a group or alone? What are the main reasons for your preference?
Estimate the percentage of members : A health club annually surveys its members. Last year, 33% of the members said they use the treadmill at least four times a week.
What is the value of the swap : Suppose that some time ago a financial institution entered into a swap where it agreed to make semiannual payments at a rate of 3.5% per annum and receive LIBOR
What would a virtue ethicist say of pattern of advertising : Dove is a personal hygene and beauty company that makes and sells soap, shampoo, and hand lotion. It does not sell skin lightening products and claims to suppor
Health and efficiency of marriott post-merger brand : 1) Assess the health and and efficiency of Marriott's post-merger brand portfolio. What are you most concerned about?
Scientific development of philippines : 1. Which period in the scientific development of Philippines does favors science and technology? Explain your answer.
What are the possible sacrifices that might need to be made : What are the possible sacrifices that might need to be made? Think about how implementing these steps can help change the culture of the company

Reviews

Write a Review

Business Management Questions & Answers

  Bounded rationality perspective and cognitive biases

Pick one of the following terms for your research: bounded rationality perspective, cognitive biases, decision learning, devil's advocate,

  Business torts and intellectual property

Stan is an employee of Acme Paper Corp. He signed a non-disclosure agreement as a condition of his employment with Acme. Stan is approached by Zenith Paper Co.

  Communication modelsuntil recently upper management has

communication modelsuntil recently upper management has attempted to accomplish coordination of the department managers

  Nosql databases and traditional rdbms co-exist

When would you use one over the other or how would you mix and match the two? Give a scenario.

  Negotiate contractual provisions without interference

Should parties be able to negotiate contractual provisions without interference from courts? Why or Why not?

  Chief security officer of a hypothetical organization

As a Chief Security Officer of a Hypothetical organization which has international presence, how do you ensure that your cyber security policy.

  Starbucks for iced white chocolate mocha coffee

The communication mix tools used by starbucks for iced white chocolate mocha coffee.

  What do you think would be the issues for a small

What do you think would be the issues for a small "Mom & Pop" type business? Is BC planning within their financial ability to perform?

  Describe sun coast data using descriptive statistics tools

Describe the Sun Coast data using the descriptive statistics tools discussed in the unit lesson. Produce a frequency distribution table and histogram.

  Company producing and selling energy drink

Suppose you own a company producing and selling energy drink. how will you put up social responsibility and community involvement and tackle the same.

  Interest rate for financing the equipment

Most businesses replace their computers every two to three years. Assume that a computer costs $2,000 and that it fully depreciates in 3 years, at which point

  Overseeing the management of probationary employees

Overseeing the management of probationary employees and providing them with feedback until their employment is confirmed or terminated is vital.

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