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 GS±s ²oating rate cash ²ow? It is (5 : 5 = 2 + 100) e & : 05 ± 3 = 12 = $101 : 47 million. The &rst part is the $2.75 million ²oating receipt determined according to the LIBOR rate quoted three months ago. The second part is the ²oating 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, Yield Curve, Economics terminology, Interest rate swap

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