Trade Date 12-7-2000 Pay LIBOR +21b.p. ACT/360 semi-annually Receive fixed 3% 30/360 Annual Question 3 Swap maturing on 14-8-2006 Trade Date 12-8-2001 Pay fixed 3.2% 30/360 Annual Receive LIBOR +21b.p. ACT/360 semi-annually Hints Libor Curve is from date 7-May-02 today’s Calculate the present value of the remaining payments using the swap pricer, Old payments should not show up on your Pricer Add in a new Input Date and use an IF statement to display the relevant coupon box called Today’s payments Swap maturing on 14-7-2007 Trade Date 12-7-2001 Pay fixed 3% 30/360 Annual Receive LIBOR + 21b.p. ACT/360 semi-annual Swap maturing on 14-7-2007 Trade Date 12-7-2000
Trade Date 12-7-2000 Pay LIBOR +21b.p. ACT/360 semi-annually Receive fixed 3% 30/360 Annual Question 3 Swap maturing on 14-8-2006 Trade Date 12-8-2001 Pay fixed 3.2% 30/360 Annual Receive LIBOR +21b.p. ACT/360 semi-annually Hints Libor Curve is from today’s date 7-May-02 Calculate the present value of the remaining payments using the swap pricer, Old payments should not show up on your Pricer Add in a new Input box called Today’s Date and use an IF statement to display the relevant coupon payments Swap maturing on 14-7-2007 Trade Date 12-7-2001 Pay fixed 3% 30/360 Annual Receive LIBOR + 21b.p. ACT/360 semi-annual Swap maturing on 14-7-2007 Trade Date 12-7-2000
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