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3824金融与交易中等derivationmedium

Receiver Swap Mark-to-Market I

题目

A receiver swap has notional N=50000000N=50000000, swap annuity A=2.7A=2.7, fixed coupon K=2.20%K=2.20\%, and current par market swap rate Smkt=2.60%S_{mkt}=2.60\%. What is the current mark-to-market value to that side?

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