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Unformatted text preview: notional principal is exchanged for the &nal payment)? It is 3 e & : 05 3 = 12 + 3 e & : 05 9 = 12 + 103 e & : 05 15 = 12 = $102 : 61 million. (c) What is the present value of GSs oating rate cash ow? It is (5 : 5 = 2 + 100) e & : 05 3 = 12 = $101 : 47 million. The &rst part is the $2.75 million oating receipt determined according to the LIBOR rate quoted three months ago. The second part is the oating rate bond (priced at par) with two remaining payments. The total would then be discounted back for three months to the present. (d) What should be the current value of the swap to GS? 101 : 47 & 102 : 61 = & $1 : 14 million. Each part will have 0.5 points for a total of 2 points. 1...
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 Spring '08
 Yu
 Derivatives, Interest, Interest Rate

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