《Market Risk Measurement and Management》精选解析I

A 2-year 6.0%LIBOR-for-fixed swap with a notional of USD 100 is trading at par.The 1-year overnight indexed swap(OIS)rate is 5.0%and the 2-year OIS rate is5.5%.Assuming annual payments,what is the value of the LIBOR-for-fixed swap’s floating-rate leg using OIS discounting?
 
A.USD 98.61
 
B.USD 100.00
 
C.USD 100.25
 
D.USD 100.95
 
 
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Answer:D

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