Find the Fixed Rate on a Forward Swap Expiring in 90

question 14

Multiple Choice

Find the fixed rate on a forward swap expiring in 90 days in which the underlying swap has a maturity of 180 days and makes payments every 90 days.The prices of zero coupon bonds are 0.9877 (90 days) ,0.9732 (180 days) ,and 0.9597 (270 days) .

• A)5.97 percent
• B)5.6 percent
• C)5.5 percent
• D)5.78 percent
• E)5 percent

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Definitions:

Heterozygous

Possessing unlike alleles for a particular trait.

Down Syndrome

A genetic disorder caused by the presence of an extra 21st chromosome, leading to developmental and physical changes.

Disjunction

The separation of chromosomes or sister chromatids during cell division, leading to the distribution of genetic material into daughter cells.

Chromosome 21

One of the 23 pairs of human chromosomes, an extra copy of which is associated with Down syndrome.