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A bank entered into a 4-year tenor plain vanilla swap three years ago. The agreements of the swap are to pay 6.5 percent annually, based on annual compounding with a 30/360 day-count convention, fixed rate on a $50 million notional, and receive 1-year London Interbank Offered Rate (LIBOR). The continuously compounded LIBOR for 1-year obligations is currently 5.75 percent. The 1-year LIBOR at the beginning of the period was 6.25 percent. The value of the swap is closest to: A. –$110,000. B. $110,000. C. $800,522. D. –$257,020. |