CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

When the Quantum Electronic swap was first established, the fixed rate was set at 9.75%. To value the swap 180 days into its life, we have the new term structure of interest rates as follows:

What's the value of the swap?
Correct Answer: -0.0030858

The sum of present values is 0.9564 + 0.9091 + 0.8653 = 2.7308. The current equilibrium fixed swap rate is 2 * (1 - 0.8653)/2.7308 = 9.863%. The swap value per dollar notional is V = (9.75% - 9.863%) * 2.7308 = -0.0030858.

User Contributed Comments 2

User Comment
ashish100 Where did that 2 come from in the equilibrium fixed swap rate formula ??
ashish100 360/180
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