Market Value of the Swap Assignment | Homework For You
May 25th, 2020
An interest rate swap with a 5-year tenor has a level notional amount of 1,000,000. The fixed payments are based on a swap rate of 8%. The variable payments are based on the spot price for 1-year zero-coupon Treasury securities. At t=3, the prices (per 1000 of maturity value) for 1-year and 2-year zero-coupon Treasury securities are 937.21 and 870.18 respectively. Based on these prices for Treasury securities, what is the market value of the swap at t=3 for the payer to the nearest $10?Get Finance homework help today

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