Global Capital Market-HMW2

5 1 15 2 25 spot rate fixed payment expected floating

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: s/2 s/2 s/2 s/2 r0.5/2 0.5r0.5/2 1r0.5/2 1.5r0.5/2 2r0.5/2 s/2-r0.5/2 s/2-0.5r0.5/2 s/2-1r0.5/2 s/2-1.5r0.5/2 s/2-2r0.5/2 ② Referring the data we have: r0.5/2 2.6507% 0.5r0.5/2 1r0.5/2 1.5r0.5/2 3.1891% 3.1607% 2r0.5/2 3.4199% 3.7307% ③ By setting the NPV of the Net payment be zero, we derive the value of s ∑ ( ⁄) Therefore, the 2.5 years swap rate is roughly 3.2223% ( )...
View Full Document

{[ snackBarMessage ]}

Ask a homework question - tutors are online