Assume annual compounding .

Let z₁= 4% z₂ =6% Z₃ =8%

1-Determine the fixed rate (in percent)on a three-year interest rate swap with a nominal par value of 100 million dollars. The swap makes three payments at the end of each year(three decimal places)

2-For a parallel shift (instantaneous) of plus 100 basis points, determine the value of a receive fixed and pay floating interest rate swaps (in millions of dollars)(three decimal places)

3-For a parallel shift (instantaneous) of plus 100 basis points, determine the value of a pay fixed and receive floating interest rate swaps (in millions of dollars)(four decimal places)

4-Determine the fixed rate (in percent ) on a new swap after the interest rate shift. (three decimal places)

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This is a financial swap model situation where we need to calculate the fixed rate for a threeyear interest rate swap the value of different types of ... View the full answer