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[DOC File]An Explanation of Swaps
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An interest rate swap contract requires each of the counterparties to make a series of cash flow payments to the other. The two obligations are typically netted and settled on a periodic basis. In the “plain vanilla” interest rate swap, the cash flows are set equal to the interest payments due on a fixed-rate debt for one party and a ...
5 year swap rates wsj

[DOC File]Index of [finpko.ku.edu]
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Assume that the 2.5-year swap rate is the average of the 2- and 3-year swap rates and that OIS zero rates for all maturities are 4.5%. OIS rates are expressed with continuous compounding; all other rates are expressed with semiannual compounding. Suppose the 18 month to 2 year forward rate is F. The two-year swap rate is 5.4%.
5 year swap rate quote

[DOC File]Interest Rate Swap Illustration - John Zietlow
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A swap is an exchange, as the example makes clear: Company X has fixed rate obligation, (wants) swaps for floating-rate: Original borrowing: Pays 5% fixed rate on original note borrowing. Swap: 1. + Pays 5% floating rate to Y (floats with LIBOR) 2. − Receives 5.35% fixed rate from Y. Immediate. Net Cost = 4.65% (versus 5.25% without swap)
5 year swap index

[DOC File]Final Exam Preparation - Stanford University
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x 4 = 0.044059 = 4.4059% ( Make sure you know how to calculate the Swap Rates. 1. Consider an interest-rate swap with these features: maturity is five years, notional principal is $100 million, payments occur every six months, the fixed-rate payer pays a rate of 9.05% and receives LIBOR, while the floating-rate payer pays LIBOR and receives 9%.
5 year swap rate chart

[DOC File]International Track - University of Utah
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Compute 5- and 7-year par (interest rate) swap rates in both currencies. Describe the cash flows for a USD par interest rate swap (receive fixed, pay floating), assuming Libor rates in the future are exactly equal to the forwards. Consider a fixed-for-fixed currency swap, receive USD, pay EUR, with both rates equal to the computed par swap rates.
5 yr swap rate

[DOCX File]Interest Rate Swaps: - Tulane University
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This gives the swap a positive value for the fixed-rate receiver and a negative (and equal) value for the fixed-rate payer. We can see this on the second worksheet of the example if, on 4/1/10, LIBOR is 4.00% and the Eurodollar Futures prices for the remaining months of the swap are all at 96.00.
30 year swap rate history

5 year interest rate swap