Swap and Forex Risk

suresh.wadhwani2009
Finance Junkie
Posts: 99
Joined: Sat Apr 07, 2012 10:24 am

Swap and Forex Risk

Postby suresh.wadhwani2009 » Thu Apr 12, 2012 11:05 am

Pls explain the below qn:

Computer Package Co. considers the following swap contracts to hedge its interest rate exposure:
Initiation Date: 15 June 1999
Termination Date: 15 June 2001
Notional Amount: $10 million
Maturity: 1 years
Floating Index: 6-month
LIBOR Payment Frequency: Semiannual
Day Count: 30/360 for fixed and actual/360 for floating
(i) 4.55%
(ii) 4.77%
(iii)4.89%
(iv) 4.92%

sreeram.jyothi
Posts: 6
Joined: Sat Apr 14, 2012 10:00 am

Re: Swap and Forex Risk

Postby sreeram.jyothi » Sun Apr 15, 2012 10:48 am

Hi Suresh,

This question is incomplete.

suresh.wadhwani2009
Finance Junkie
Posts: 99
Joined: Sat Apr 07, 2012 10:24 am

Re: Swap and Forex Risk

Postby suresh.wadhwani2009 » Sun Apr 15, 2012 5:00 pm

I was also thinking the same thing that qn is incomplete. Pls check the Quiz No1 of "Swaps and Forex Risk". This qn is from that quiz.

Hoping quick revert!


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