Using the information in the following table, construct an Excel spreadsheet to answer questions (a) and (b).

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Using the information in the following table, construct an Excel spreadsheet to answer questions

(a) and (b). image text in transcribed

Assume the frequency of both sides of the swap is quarterly and both use an actual/360 day count convention.

a. What are the projected floating rate payments?

b. What is the value of the swap?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:01 AM

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Using the information in the following table, construct an Excel spreadsheet to answer questions (a) and (b).

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Introduction To Fixed Income Analytics

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