The table below shows the spot rates for the given lengths of time.Numbers of yearsEffective Annual2346.4%4.7%5,3%6%6.2%7%SpotCalculate the swap rate for a three-year deferred, six-year Interest rate swap with settlement at the end of the year.O A. 6.43%O B. 7.25%OC 8.65%.O D. 9.05%O E. 10.2%

Spot Rate is the price of financial contracts on the spot date. While Forward Rate is the price of a…

The table below shows the spot rates for the given lengths of time. Numbers of years 1 2 3 4 4.7% 5.3% Effective Annual 4% 6% 6.2% 7% Spot Calculate the swap rate for a three-year deferred, six-year interest rate swap with settlement at the end of the year. O A 6.43% O B. 7.25% OC8.65% O D.9.05% O E. 10.2%

The table below shows the spot rates for the given lengths of time. Numbers of years 1 2 3 4 4.7% 5.3% Effective Annual 4% 6% 6.2% 7% Spot Calculate the swap rate for a three-year deferred, six-year interest rate swap with settlement at the end of the year. O A 6.43% O B. 7.25% OC8.65% O D.9.05% O E. 10.2%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Use the following table of spot rates: Years to Maturity Annual Effective Spot Rate 3.00% 2 3.60% 3. 3.85% 4 4.05% 5. 4.20% For a 2-year-deferred, 3-year interest rate swap with the level notional amount is I million and 1-year spot rate at time 3 is 3%, what is the amount of the net settlement payment at time 4? Is this amount paid by the payer, or by the receiver? O a. 15,950 paid by the receiver Ob. 16,950 pay by the receiver O. 15,950 paid by the payer Od. 16,950 paid by the payer O e. None of the above
Consider a one-year interest rate swap with semi-annual payments, based on 30/360 day count convention. The term structure of LIBOR spot rates is given as follows: 6-month LIBOR at 7.2%, and 12-month LIBOR at 8.0%. What is the annualized fixed rate on the swap? A. 7.42%. B. 7.93% C. 7.84%. D. 7.56%.
1. (15 marks) (a) Consider a two-year interest rate swap with semi-annual payments based on actual/360 day-count and a notional principal of $1 million. Assume that the current six-month LIBOR and the forward LIBORS for the next three periods are as follows: Current Forward No. of Days 6-Month 6-Month Period in Period LIBOR LIBOR 1 181 4.6% 2 184 5.0% 3 181 5.2% 4 184 5.6% (a) What is the swap rate for this swap? (9 marks) (b) After one year, the six-month LIBOR is 5.5% and the forward LIBOR for the next period is 6.0%. What is the value of this swap from the perspective of the floating-rate payer? (6 marks)
Continuously compounded LIBOR rates per annum for 6, 12, and 18-months are given in the table below. The 2-year swap rate is 3% per annum with payments made semiannually. What is the 2-year LIBOR/swap zero rate for 2 years? Use LIBOR discounting 0.5 - 2.0% 1.0 - 2.4% 1.5 - 2.6% 2.0 - ?
-A1-year-deferred, 2-year interest rate swap is based on the spot rates in the following table: 4 Term (in years) Spot rate A) 0.043 (5 1 0.03 B) 0.044 2 0.04 It is an amortizing swap, with notional amounts of 2 million and 1 million during its two settlement periods (years 2 and 3). The swap rate is R=0.05267. Find the 3-year spot rate x. 3 X C) 0.045 D) 0.046 E) 0.047 4 0.05
A 2-year swap based on LIBOR is entered into on 30/6/2010 with current spot 3 month LIBOR at 0.54%. The swap is based on a notional principal of $100m What is the swap rate?
A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR rate observed three months ago was 4.85% with semi-annual compounding. Today’s three and nine month LIBOR rates are 5.3% and 5.8% (continuously compounded) respectively. From this it can be calculated that the forward LIBOR rate for the period between three- and nine-months is 6.14% with semi-annual compounding. If the swap has a principal value of $15,000,000, what is the value of the swap to the party receiving a fixed rate of interest? Assume OIS rates are the same as LIBOR rates.
A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR rate observed three months ago was 4.85% with semi-annual compounding. Today’s three and nine month LIBOR rates are 5.3% and 5.8% (continuously compounded) respectively. From this it can be calculated that the forward LIBOR rate for the period between three- and nine-months is 6.14% with semi-annual compounding. If the swap has a principal value of $15,000,000, what is the value of the swap to the party receiving a fixed rate of interest? Assume OIS rates are the same as LIBOR rates. Please show how you get the floating payments
An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 4% is paid and 12-month LIBOR is received. A exchange of payments has just taken place. The one-year, two-year and three- year LIBOR/swap zero rates are 3%, 4% and 5%. All rates an annually compounded. What is the value of the swap if LIBOR discounting is used. O 2.58 O 5.47 2.06 O 1.06
TABLE 6.1 Use the table to answer the following question(s). Spot Forward Rates 6 months Swaps 3 year Yen: Spot and Forward (V/$) Mid Rates 129.87 129.68 128.53 Refer to Table 6.1. Cross rates are all of these. Bid 129.82 -20 -136 1232 129.92 1212 Pound: Spot and Forward ($/£) Mid Rates 1.4484 1.4459 1.4250 O are often reported in the form of a matrix in the financial newspapers. O can be used to check on opportunities for intermarket arbitrage. for the spot market in the table are "188.10" (using the mid rates). Bid 1.4481 -160 -238 -230
You are given the folloving spot rates: Time Spot Rate 1 3.0% 2. 3.5% 3. 4.0% 4. 4.5% Bill enters into a four-year interest rate swap where the floating rate resets annually. The notional amount of the swap is 1000 the first year, 1500 the second year, 2500 the third year, and 3000 the fourth year. Determine the swap interest rate. Possible Answers A 4.3% 4.5% 4.7% 4.8% 4.9%
Suppose the 1-year and 2-year OIS rates are 2% and 4%, respectively. Consider an OIS swap with two years to maturity where you receive 3% and pay the floating reference rate with principal 1 million. If the payments are made annually with annual compounding the value of the swap is (a)−558.4 (b)−188.5 (c) 0 (d) 188.5 (e) 558.4

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