Two swap payment due exactly in 180 days for first legs


Two swap payment due exactly in 180 days for first legs, exactly one year for final legs. Value is equivalent to fixed receiver and floating receiver.

Fixed rate is 3%, future six month rate is 3.25%, Notional amounts are equivalent for both counterparties at $100,000. Spot inception is 2.9%.

How much is future floating rate for the second 6 month period?

If spot LIBOR ends up dropping steadily to 2.6%, which counterparty would benefit from having entered the swap?

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Financial Management: Two swap payment due exactly in 180 days for first legs
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