NO.PZ2024021803000044
问题如下:
For a $10 million interest rate swap with a fixed rate of 1.95% and annual payments, what is the closest estimate of the periodic settlement value in Year 3 for the fixed-rate payer as the implied forward rate of year 3 is 1.35%?选项:
A.Approximately –$95,000. B.Approximately –$60,000. C.Approximately $60,000.解释:
settlement value = (IFR – swap
rate) × Notional amount × Period=(1.35%-1.95%)×10million×1=-60000
如题