Consider a 2 year fixed for floating rate swap that makes quarterly payments on a notional value of $7,000,000. The floating rate is equal to LIBOR and the rate for the fixed leg is 4.9%. Suppose Calima Financial entered the swap at inception to receive fixed and pay floating. Find the value of the swap at inception. If necessary assume a flat yield curve at 4.9%. Answer: Enter your answer as a numeric value rounded to 4 decimal places.

Consider a 2 year fixed for floating rate swap that makes quarterly payments on a notional value of $7,000,000. The floating rate is equal to LIBOR and the rate for the fixed leg is 4.9%. Suppose Calima Financial entered the swap at inception to receive fixed and pay floating. Find the value of the swap at inception. If necessary assume a flat yield curve at 4.9%. Answer: Enter your answer as a numeric value rounded to 4 decimal places.

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter7: International Arbitrage And Interest Rate Parity

Section: Chapter Questions

Problem 37QA

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