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- 2011-7-2
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- 2015-12-13
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A.
Its a leveraged floater so the swap and fixed bond cant have the same NP as the leveraged floater. it needs to be x up by 1.2.
The swap will have a 14.4m NP with Libor on the one leg and fixed on the other of 4.4%. This libor will cancel with the leverage floater libor. leaving the two fixed rates of 6% and 4.4% on a NP of 14.4m.
The annual receipt is 230,400. The semi-annual receipt is 115,200. |
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发表于 2011-7-11 15:28
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