Exhibit 23.7
Use the Information Below for the Following Problem(S)
The WallMal Company has entered into a 4-year interest rate swap, with semiannual settlement, to pay a fixed rate of 8% per year and receive 6-month LIBOR. The notional principal is $50,000,000.
-Refer to Exhibit 23.7.Assume that one year after the swap was initiated the fixed rate on a new 3-year receive fixed pay floating LIBOR swap has risen to 9% per year,calculate the market value of the 8% fixed rate bond based on $100 face value.Settlement is on a semiannual basis.
A) $76.45
B) $101.24
C) $100.0
D) $97.42
E) $70.77

Question

Quizplus · Accepted Answer

$$M V \text { of fixed rate bond } = 4 \left[ \frac { 1 - \frac { 1 } { 1.045 ^ { 6 } } } { .045 } \right] + \frac { 100 } { 1.045 ^ { 6 } } = \$ 97.4211$$

Exhibit 23.7 Use the Information Below for the Following Problem(S)