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A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6-month LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for 6-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The 6-month LIBOR rate was 4.6% per annum 2 months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?

A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6-month LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for 6-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The 6-month LIBOR rate was 4.6% per annum 2 months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?

发布时间：2025-07-09 15:13:26
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答案：【计分规则】: In four months $3.5 million (=0.5*0.07*$100 million) will be received and $2.3 million (=0.5*0.046*$100 million) will be paid. In 10 months $3.5 million will be received, and the LIBOR rate prevailing in four months’ time will be paid. The value of the fixed-rate bond underlying the swap is $102.718 millionThe value of the floating-rate bond underlying the swap is $100.609 millionThe value of the swap to the party paying floating is $102.718-$100.609=$2.109 million. The value of the swap to the party paying fixed is -$2.109 million.These results can also be derived by decomposing the swap into forward contracts.
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