USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 45

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The following information is given concerning a pure yield pick-up swap: You currently hold a 20-year, Aa 2 percent coupon bond priced to yield 9.5 percent. As a swap candidate, you are considering a 20-year, Aa 14 percent coupon bond priced to yield 10.00. Assume a reinvestment rate of 11 percent, semiannual compounding, and a one-year workout period.

-Refer to Exhibit 13.8. The value of the swap is ____ basis points in one year.

• A) 0.004921
• B) 0.4921
• C) 4.921
• D) 49.21
• E) 492.1

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