Consider a $10,000,000 1-year quarterly-pay swap with a fixed rate of 4.5% and a floating rate of 90-day London Interbank Offered Rate (LIBOR) plus 150 basis points. 90-day LIBOR is currently 3% and the current forward rates for the next four quarters are 3.2%, 3.6%, 3.8%, and 4%. If these rates are actually realized, at the termination of the swap the floating-rate payer will: A) pay $10,020,000. B) pay $20,000. C) pay $25,000. D) receive $12,500.
B
been done before, but thanks for posting anyways.
whats the answer
B .038 + .015 - .045 (90/360)(100,000) = $20,000