Homework 3 Adapted From Fundamentals Of Futures And Options Markets 7th Ed John

In an existing (not new) interest rate swap, your company receives 7.00% (fixed) per annum and pays3monthLIBOR in return on a notional principal of $100 million with payments being exchanged every3 months. The swap has a remaining life of 13 months. This implies the next cashflow will be exchangedin 1 months and the last exchange occurred 2 months ago.

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