# Question

Consider the following interest-rate swap:

• The swap starts today, January 1 of year 1 (swap settlement date)

• The floating-rate payments are made quarterly based on actual / 360

• The reference rate is 3-month LIBOR

• The notional amount of the swap is $40 million

• The term of the swap is three years

Answer the below questions.

(a) Suppose that today’s 3-month LIBOR is 5.7%. What will the fixed-rate payer for this interest rate swap receive on March 31 of year 1 (assuming that year 1 is not a leap year)?

(a) Suppose that today’s 3-month LIBOR is 5.7%. What will the fixed-rate payer for this interest rate swap receive on March 31 of year 1 (assuming that year 1 is not a leap year)?

(b) Assume the Eurodollar futures price for the next seven quarters is as follows:

(c) What is the floating-rate payment at the end of each quarter for this interest-rate swap?

• The swap starts today, January 1 of year 1 (swap settlement date)

• The floating-rate payments are made quarterly based on actual / 360

• The reference rate is 3-month LIBOR

• The notional amount of the swap is $40 million

• The term of the swap is three years

Answer the below questions.

(a) Suppose that today’s 3-month LIBOR is 5.7%. What will the fixed-rate payer for this interest rate swap receive on March 31 of year 1 (assuming that year 1 is not a leap year)?

(a) Suppose that today’s 3-month LIBOR is 5.7%. What will the fixed-rate payer for this interest rate swap receive on March 31 of year 1 (assuming that year 1 is not a leap year)?

(b) Assume the Eurodollar futures price for the next seven quarters is as follows:

(c) What is the floating-rate payment at the end of each quarter for this interest-rate swap?

## Answer to relevant Questions

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