Provide detailed analysis on the basis of your calculations,
(b) Punjab Bank has entered into a plain vanilla swap through on Overnight Index Swap (OIS)
on a principal of 72 crore and agreed to receive MIBOR overnight floating rate for a fixed
payment on the principal. The swap was entered into on Monday, 24th July, 2017 and was
to commence on 25th July, 2017 and run for a period of 7 days.
Respective MIBOR rates for Tuesday to Monday were:
8.70%, 9.10%, 9.12%, 8.95%, 8.98% and 9.10%.
If Punjab Bank received 507 net on settlement, calculate Fixed rate and interest under
both legs.
Notes:
(i) Sunday is a Holiday.
(ii) Workout in rounded rupees and avoid decimal working.
(iii) Consider a year consists of 365 days.
(8 Marks)
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