Practice Exercises Swap Valuation PDF

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Enunciado de exercicios de Exercises Swap Valuation...

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Practice Exercises Swap Valuation 1) Interest rate swap, with semi-annual payments. Remaining lifetime 2.25 years. Notional Principal 1M$. - Receive 5% fixed (semi-annually compounded) - Pay LIBOR6. The LIBOR6 rate 3 months ago (at the last payment date) was equal to 3% (semi-annual compounded). - Yield curve (in continuously compounded rates): o 3months: 2% o 6months: 2,1% o 9months: 2,2% o 12 months: 2,4% o 15 months: 2,6% o 18 months: 2,8% o 21 months: 2,9% o 24 months: 3,0% o 27 months: 3,05% Calculate the current value of this swap contract using the bond and FRA valuation methods. 2) Currency Swap Fixed for Fixed, EUR to USD with semi-annual payments. Remaining Lifetime: 1,25 years. Current Spot rate USD/EUR=1,25. Notional Principal 1M€ - 1,2M$. - Receive USD at 5% fixed (semi-annually compounded) - Pay EUR - at 5,5% fixed (semi-annually compounded) - Yield curve USD (in continuously compounded rates): o 3months: 2% o 6months: 2,1% o 9months: 2,2% o 12 months: 2,4% o 15 months: 2,6% - Yield curve EUR (in continuously compounded rates): o 3months: 2,2% o 6months: 2,3% o 9months: 2,5% o 12 months: 2,7% o 15 months: 2,8% A )Calculate the implied forward exchange rate for the interest payments of the swap. B) Calculate the implied forward exchange rate for the final payment in 1,25 years (interest + notional principal are exchanged) C) Calculate the value of the swap in USD using bond and FRA methods....