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Shijo Thomas
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46 views1 page

Swap

Swap

Uploaded by

Shijo Thomas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd

assumptions

notional
fixed rate
libor at last coupon

100
3%
2.90%

time (years)
LIBOR
DISCOUNT

0.25
2.80%
0.993

0.75
3.20%
0.976

1.25
3.40%
0.958

VALUE INTEREST RATE AS TWO BONDS


FLOATING CASH FLOWS
FUTURE VALUE (FV)
PV
FIXED CASH FLOWS
FV
PV

$101.45
$100.74
$1.50
$1.49

$100.74
$1.50
$1.46

$101.50
$97.28

$100.23
$0.51

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