A Semi?Annual Pay Interest Rate Swap Where The Fixed Rate

A semi?annual pay interest rate swap where the fixed rate is 5. 00% (with semi?annualcompounding) has a remaining life of nine months.  The six?month LIBOR rate observed three months ago was 4. 85% with semi?annual compounding. Today’s three and nine  month LIBOR rates are 5. 3% and 5. 8% (continuously compounded) respectively.  From this it can be calculated that the forward LIBOR rate for the period between three? and nine?months is 6. 14% with semi?annual compounding.  If the swap has a principal value of $15,000,000, what is the value of the swap to the party receiving a fixed rate of interest?

Originally posted 2018-07-23 17:53:17. Republished by Blog Post Promoter