What is the value at t=3 of the swap contract initiated at t=0 from the perspective of the party paying floating

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

Suppose at t=0 two parties agreed to enter in a (spot starting) swap contract where annual fixed payments of 5% are swapped against semi-annual 6-month LIBOR payments over the next 5 years on a notional N=100.

Three years later at t=3 we observe in the market that a spot starting swap maturing in 1 year and a spot starting swap maturing in 2 years both have a swap rate of 6% (again with annual fixed leg and semi-annual floating leg).

What is the value at t=3 of the swap contract initiated at t=0 from the perspective of the party paying floating?

Round your answer to 2 decimal places.

Attachments:

Related Questions

. The fundamental operations of create, read, update, and delete (CRUD) in either Python or Java

CS 340 Milestone One Guidelines and Rubric  Overview: For this assignment, you will implement the fundamental operations of create, read, update,

. Develop a program to emulate a purchase transaction at a retail store. This  program will have two classes, a LineItem class and a Transaction class

Retail Transaction Programming Project  Project Requirements:  Develop a program to emulate a purchase transaction at a retail store. This

. The following program contains five errors. Identify the errors and fix them

7COM1028   Secure Systems Programming   Referral Coursework: Secure

. Accepts the following from a user: Item Name Item Quantity Item Price Allows the user to create a file to store the sales receipt contents

Create a GUI program that:Accepts the following from a user:Item NameItem QuantityItem PriceAllows the user to create a file to store the sales receip

. The final project will encompass developing a web service using a software stack and implementing an industry-standard interface. Regardless of whether you choose to pursue application development goals as a pure developer or as a software engineer

CS 340 Final Project Guidelines and Rubric  Overview The final project will encompass developing a web service using a software stack and impleme