Given: Its 120 days from now, and black must determine the value of the swap. The term structure is given below: Days - Annual Rate - Discount Factor 30 - 3.21% - 0.9973 60 - 3.31% - 0.9945 180 - 3.66% - 0.9820 240 - 3.69% - 0.9760 360 - 4.21% - 0.9596 420 - 4.42% - 0.9510 480 - 4.69% - 0.9411 540 - 4.74% - 0.9336 600 - 4.89% - 0.9246 720 - 5.00% - 0.9091 The PV of the remaining fixed payments and PV of floating payments (based on $1 notional), assuming annualized swap fixed rate is 3.80% are: A) PV of fixed = 0.98190; PV of floating = 1.01066 B) PV of fixed = 0.98190; PV of floating = 0.99970 C) PV of fixed = 0.99768; PV of floating = 1.01066 D) PV of fixed = 0.99768; PV of floating = 0.99970

fixed side i get .019 (.9945 + .976 + .951 + .9246) = .073076 + .9246 = .997676 so I like C or D. floating- don’t I need to know what the libor rate was back when the swap was initiated? do they tell you that anywhere or no?

The don’t mention a LIBOR, but your correct, with the answer following with either C or D

my guess would be C then out of those. if int rates were anything like where they were at 30 days, .0321/2 = .01605 + 1 = 1.0605 x the 60 day discount to get me to my 1st payment = 1.054 or so… if i used the 60 day rate i’m something like 1.010959. how would i get to my floating exactly given what you gave me?

The correct answer is C, but I have no clue how to get the floating payment… your logic seems correct though… I guess its close enough.

as my good friend slouis would say… DUUUUUDDDDDDE! did you get an answer explanation? can you post it up?

NAWWWWWWWW … thats the problem… I just have a one word answer … “C”. Otherwise, I would have for sure posted the whole solution.

you’re killing us prob