5.11 Financial institution is Involved (Figure 5.4, page 126) 4.985 5.015 A B LIBOR+0.8% LIBOR LIBOR Plain vanilla fixed-for-float swaps on US interest rates are usually structured so that the financial institutions earns 3 to 4 basis points on a pair of offsetting transactions Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 5.11 Financial Institution is Involved (Figure 5.4, page 126) A F.I. B LIBOR LIBOR LIBOR+0.8% 4.985% 5.015% 5.2% “Plain vanilla” fixed-for-float swaps on US interest rates are usually structured so that the financial institutions earns 3 to 4 basis points on a pair of offsetting transactions