1. What is the difference between LIBOR and OIS as benchmarks in valuing interest -rate swaps?
Is LIBOR a risk -free rate?
2. Value the interest -rate swap by relying on the data provided on the LIBOR and OIS rates. What differences do you find, and what might account for these differences?
3. Does the valuation of an interest-rate swap in particular, and derivatives in general, depend on who the counterparty is and whether the contract is collateralized?
2. When you answers the above questions, make sure you show all the
work done to reach your conclusion/s. Any calculations done must be incorporated
in the answers. Remember the case carries 15% weight towards your final grade.
If there are any problems or differences of opinion between the students in the group working together – compromise or if that is not a solution, bring it to the notice of the instructor well ahead of the semester closing. Rest of the group members will take over and the complete the remaining sections of the project on their own. Individual at odds with group member must complete his/her project on own.
Note: if there is any calculations plz with great details.

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