Question #68
Reading: Reading 25 The Term Structure and Interest Rate Dynamics
PDF File: Reading 25 The Term Structure and Interest Rate Dynamics.pdf
Page: 27
Status: Unattempted
Question
For an interest rate swap, the swap spread is the difference between the:
Answer Choices:
A. average fixed rate and the average floating rate over the life of the contract
B. fixed rate and the floating rate in a given period
Explanation
The swap spread is the swap rate minus the corresponding Treasury rate.