! numerical problem aboy derivatives

4. 20 points. Assume the zero curve as given below. Three months ago, the six-month LIBOR rate was 2.5% semi-annually. Value a swap in which a firm will pay 2% interest every six months on a notional amount of $1 Million and receive the LIBOR rate that prevailed six months previously, both rates on a semi-annual basis. Only three exchanges are left on the swap, at times T = .25, T = .75, and T = 1.25. You may find the value with either the bond method or the series-of-FRAs method. 10 points of extra credit will be awarded for correctly pricing the swap in both methods.

T Rate

.25 2%

.75 2.2%

[url removed, login to view] 2.3%

Habilidades: Finanças

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