Swap and forex risk: Quiz 1

malika.aggarwal
Posts: 3
Joined: Wed Sep 12, 2012 11:54 am

Swap and forex risk: Quiz 1

Postby malika.aggarwal » Sat Oct 20, 2012 5:12 pm

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
Choose one answer.
a. 4.55 percent Correct
b. 4.77 percent Incorrect
c. 4.89 percent Incorrect
d. 4.92 percent Incorrect
The answer is: 4.55 percent.

Can you please show me the calculation, how did you get 4.55%?

Tags:

soumyadip.0701
Posts: 2
Joined: Wed Oct 24, 2012 10:56 pm

Re: Swap and forex risk: Quiz 1

Postby soumyadip.0701 » Wed Oct 24, 2012 10:57 pm

Hi Mallika,
I believe the question is incomplete here.

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Swap and forex risk: Quiz 1

Postby content.pristine » Thu Oct 25, 2012 10:38 am

Yes Soumyadip,

You are absolutely right. The question is missing LIBOR information.

Thank you Mallika for bringing this to our attention.

8-)


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