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Old 05-02-2010, 10:53 AM
meggoddess meggoddess is offline
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Join Date: May 2010
Location: Nice, France
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Cool Value of a SWAP

A corporation enters into a 5 year fixed rate swap with a bank in which it agrees to annually pay 9.75% fixed on 15,000,000 to receive LIBOR. What is the value of the swap agreement? How does the swap value change if 4 year par bonds yield 10% after one year?

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