xilinx_altera

For the example, the option (or swaption) to enter as the fixed payer swap will expires in one year, but the hedge should be a three year quarterly pay fixed receive floating swap. The question is not clear what is the term of the floating rate of LIBOR + 1.5% but I assumed it is a 3 year LIBOR + 1.5% (variable since it depends on LIBOR but fixed bec it is not subject to quarterly or annual reset).