A company enters into a 35 million notional principal, Financial Management

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A company enters into a 35 million notional principal

A company enters into a $35 million notional principal interest rate swap. (pay fixed, receive floating at LIBOR)

The pay is made every 90days for one year. (adjustment factor : 90/360)

The term structure of LIBOR = 90days : 7%, 180days : 7.25%, 270days : 7.45%, 360days : 7.55%

Assume that it is now 30 days into the life of the swap.

The new term structure of LIBOR becomes= 90days: 6.8%, 180days : 7.05%, 270days : 7.15%, 360days : 7.2%

What is the value of the swap?

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Financial Management: A company enters into a 35 million notional principal

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