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Answered Same Day Aug 06, 2021 Murdoch University

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Sumit answered on Aug 06 2021

146 Votes

1. Given:
    Coupon Payment
    36
    Face Value
    1000
    Rate of Interest
    2.40%
    Number of periods
    0.75
Using the formula of Macaulay, the duration of the bond is 1.0177 years.
2. The Plain Vanilla Swap is:
Kath:
Pay 4% to outside lender –
Pay LIBOR to Kim - Receive 4% from Kim
Hence net...

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