USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider two bonds: both pay semiannual interest. Bond X has a coupon of 7 percent per year, maturity of 20 years, yield to maturity of 8 percent per year, and a face value of $1000. Bond Y has a coupon of 7 percent per year, maturity of 20 years, yield to maturity of 8.5 percent per year, and a face value of $1000.
-Refer to Exhibit 13.11. Calculate the value of swap out of Bond X into Bond Y.

A) 0.38 percent
B) 0.81 percent
C) 1.94 percent
D) 3.76 percent
E) 4.12 percent