LIBOR in return on a notional principal of $100 million with payments being exchanged
every 3 months. The swap has a remaining life of 13 months. This implies the next cashflow will be
exchanged in 1 month and the last exchange occurred 2 months ago.
The current LIBOR rates for different maturities are given as follows.
Maturity LIBOR (with continuous
1 month 3.00%
4 months 3.25%
7 months 3.50%
10 months 3.75%
13 months 4.00%
On the other hand, the 3month
LIBOR rate 2 months ago (when the last cash exchange occurred) was
4.00% per annum with quarterly compounding.
What is the current value of this swap to your company?
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