Q-178.3. Which swap would exchange, every six months, a floating rate of six-month LIBOR for a long-term five-year swap rate? | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
Explanation:
A constant maturity swap (CMS) exchanges a floating short-term rate, such as 6-month LIBOR, for a longer-term swap rate, such as a 5-year swap rate, resetting periodically.
A LIBOR-in-arrears swap sets the floating rate at the end of the accrual period.
A compounding swap compounds interim cash flows.
An off-market swap refers to pricing relative to the par rate, not this structure.
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Q-178.3. Which swap would exchange, every six months, a floating rate of six-month LIBOR for a long-term five-year swap rate?
