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3_a_11_Hull_swaps_v3 by davidharper  338 views
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$ Macros
 
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Legend
Yellow: Inputs
Green: Floating
Blue: Fixed
Assumptions
Notional100
Receive Fixed8.0%
LIBOR at last coupon10.2% << 1st floating rate in SEMI-ANNUAL
Time0.250.751.25
LIBOR10.0%10.5%11.0%
Discount Factor 0.975 0.924 0.872
Value Interest Rate Swap as Two Bonds
Floating Cash Flows
Future value (FV)$105.10
Present value (PV)$102.51$102.51
Fixed Cash Flows
Future value (FV)$4.00$4.00$104.00
Present value (PV)$3.90$3.70$90.64$98.24
Net Value$4.27
Value Interest Rate Swap as Forward Rate Agreeements (FRA)
Time0.250.751.25
LIBOR (copied)10.00%10.50%11.00%
Forward rates (continuous)10.75%11.75%
Forward (semi-annual)10.20%11.04%12.10%
Floating CF (FV)$5.10$5.52$6.05
Fixed CF (FV)$4.00$4.00$4.00
Net Cash flows (FV)$1.10$1.52$2.05
Net Cash flows (PV)$1.07$1.41$1.79$4.27
Interest_rate_swap
Currency_swap
irate_swap _ALL Semi_Annual
 
     
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