dotamasta

Counterparty X : Counterparty Y
pay fixed rate 6% : pay floating rate LIBOR + 0.5%
receive floating rate LIBOR + 0.5% : receive fixed rate 6%

Swap tenor: 10 years
Notional principal: $1,000,000
LIBOR0: 4.75%

I think this is the actual format of the question. With X's terms on one side and Y's terms on the other

ie. CP is right



Edited 1 time(s). Last edit at Sunday, October 25, 2009 at 01:39PM by jblamb.