Problem 3.4. A company wants a swap where it receives semiannual payments at 6.55 per annum with semiannual compounding on a principal of $5 million.
The five-year swap rate with semiannual cash flows is 6% per annum with semiannual compounding. The OIS sero curuet flat at 5% per annum with continuous compounding. How much should a derivatives dealer charge the company? Get Finance homework help