CFA Level I sample question

CFA Level I Pricing and Valuation of Interest Rates and Other Swaps question

Derivatives / Pricing and Valuation of Interest Rates and Other Swaps

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Pricing and Valuation of Interest Rates and Other Swaps sample question

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Derivatives

Pricing and Valuation of Interest Rates and Other Swaps

One year ago, an investor entered a three-year receive-fixed interest rate swap with annual settlements at a fixed rate of 4.00% on a notional principal of USD 10,000,000. Today, immediately after the first settlement, the market swap rate for a new two-year swap is 3.40%, and the present value factors for payments due in one and two years are 0.97 and 0.93, respectively. The value of the swap to the fixed-rate receiver is closest to:

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