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Consider a $100 Five-Year Zero-Coupon Swap to Pay Fixed and Receive

Question 29

Multiple Choice

Consider a $100 five-year zero-coupon swap to pay fixed and receive floating. The five-year spot rate is 5% expressed with semi-annual compounding. The floating leg makes payments every six months indexed to Libor. What is the final payment on the fixed leg of this swap?


A) $78
B) $100
C) $125
D) $128

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