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

A company is the fixed-rate payer on an interest rate swap with a notional principal of USD 20,000,000 and semiannual net settlement on a 180/360 day-count basis. The swap fixed rate is 3.60%, and the market reference rate set at the beginning of the current period is 3.10%. The net payment made by the fixed-rate payer at the end of the period is closest to:

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