int rate swap 27-28
DESCRIPTION
Interest Rate SwapsTRANSCRIPT
27
Swaps as Eurodollar Futures Positions
1 2 3 4
Closing Dates LIBOR % fT Cash Flow*
10[f0 − fT] 9/1/Y1 5.00 $975,000 -$25,0003/1/Y2 5.50 $972,500 $09/1/Y2 6.00 $970,000 $25,0003/1/Y3 6.50 $967,500 $50,0009/1/Y3 7.00 $965,000 $75,000
*f0 = 972,500
)000,000,1($100
)360/180%)(LIBOR(100f T
−=
28
Swaps as Eurodollar Futures Positions
�Comparing the fixed-rate payer's net receipts shown in Column 5 of the first exhibit (Slide 14) with the cash flows from the short positions on the Eurodollar strip shown in Slide 27, one can see that the two positions yield the same numbers.