question archive An interest rate swap with a principal of $100 million involves the exchange of 1
An interest rate swap with a principal of $100 million involves the exchange of 1
Subject:FinancePrice:2.86 Bought3
An interest rate swap with a principal of $100 million involves the exchange of 1.20% per annum (semi-annually compounded) for 6-month LIBOR. The remaining life is 14 months. Interest is exchanged every 6 months and the 2 month, 8 month and 14 month continuously compounded zero rates are 0.75%, 0.85% and 0.95%. The 6- month LIBOR was 1% four months ago. What is the value of the swap today?
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