Consider a $100 Five-Year Zero-Coupon Swap to Pay Fixed and Receive

question 29

Multiple Choice

Consider a $100 five-year zero-coupon swap to pay fixed and receive floating. The five-year spot rate is 5% expressed with semi-annual compounding. The floating leg makes payments every six months indexed to Libor. What is the final payment on the fixed leg of this swap?

• A) $78
• B) $100
• C) $125
• D) $128

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Definitions:

Face-To-Face

Direct interaction between two or more people in the same physical location, typically referring to personal interaction over digital communication.

Short-Term Loans

Borrowed funds that are expected to be repaid within a short period, typically less than a year.