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84
Which of the following describes the five-year swap rate?
A.The fixed rate of interest which a swap market maker is prepared to pay in exchange for LIBOR on a 5-year swap
B.The fixed rate of interest which a swap market maker is prepared to receive in exchange for LIBOR on a 5-year swap
C.The average of A and B
D.The higher of A and B
A.The fixed rate of interest which a swap market maker is prepared to pay in exchange for LIBOR on a 5-year swap
B.The fixed rate of interest which a swap market maker is prepared to receive in exchange for LIBOR on a 5-year swap
C.The average of A and B
D.The higher of A and B
Answer: C
The swap rate is the average of the bid swap rate (i.e. A) and the offer swap rate (i.e. B)
The swap rate is the average of the bid swap rate (i.e. A) and the offer swap rate (i.e. B)
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015