Business, 26.08.2019 19:30, Karamatullah

Under the terms of an interest rate swap, cat financial has agreed to receive 12% per annum and to pay three-month libor in return on a notional principal of $200 million with payments being exchanged every three months. the swap has a remaining life of 6 months. the three-month libor is 13% per annum for all maturities. the three-month libor at the last payment date was 11% per annum. what is the value of the swap to cat financial? (15 points) vfx = $198.844m; vfl = 198.929m

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Under the terms of an interest rate swap, cat financial has agreed to receive 12% per annum and to p...