Fight Finance

Courses  Tags  Random  All  Recent  Scores

Scores
keithphw$6,001.61
Yizhou$489.18
Visitor$442.43
Visitor$370.00
allen$340.00
Visitor$260.00
Donnal$190.00
Visitor$160.00
Visitor$150.00
Visitor$120.00
Visitor$119.09
Visitor$110.00
Visitor$100.00
Visitor$90.00
Visitor$60.00
Visitor$60.00
Visitor$56.09
Visitor$50.00
Koushik ...$43.45
Visitor$40.09
 

Question 785  fixed for floating interest rate swap, non-intermediated swap

The below table summarises the borrowing costs confronting two companies A and B.

Bond Market Yields
  Fixed Yield to Maturity (%pa) Floating Yield (%pa)
Firm A 3 L - 0.4
Firm B 5 L + 1
 

 

Firm A wishes to borrow at a floating rate and Firm B wishes to borrow at a fixed rate. Design a non-intermediated swap that benefits firm A only. What will be the swap rate?




Copyright © 2014 Keith Woodward