1. Interest rate swaps On September 15, 2020 while looking at his Bloomberg screen with the term structure of interest rate futures prices, Peter Levin observes the following prices for 6-month EUR rates September 15, 2020 March 15, 2021 September 15, 2021 March 15, 2022 September 15, 2022 March 15, 2023 September 15, 2023 March 15, 2024 September 15, 2024 March 15, 2025 0.10% 0.15% 0.15% 0.25% 0.40% 0.50% 0.75% 1.00% 1.25% 1.50% a. Calculate the fixed interest rate that Peter should expect to pay for a 5-year interest rate swap in which he receives floating rate interest where the floating rate is reset to 6-month EUR rate every 6 months. Hint: Use the XLS spreadsheet in NYU Classes under Lesson 21. b. Prior to March 15, 2021 the ECB lowered interest rates to provide more economic stimulus in the EU. The 6-month EUR rate on March 15, 2021 is 0.05%. Question: Will this make Peter's interest rate swap be in the money" or "out of the money"? Explain your answer. 1. Interest rate swaps On September 15, 2020 while looking at his Bloomberg screen with the term structure of interest rate futures prices, Peter Levin observes the following prices for 6-month EUR rates September 15, 2020 March 15, 2021 September 15, 2021 March 15, 2022 September 15, 2022 March 15, 2023 September 15, 2023 March 15, 2024 September 15, 2024 March 15, 2025 0.10% 0.15% 0.15% 0.25% 0.40% 0.50% 0.75% 1.00% 1.25% 1.50% a. Calculate the fixed interest rate that Peter should expect to pay for a 5-year interest rate swap in which he receives floating rate interest where the floating rate is reset to 6-month EUR rate every 6 months. Hint: Use the XLS spreadsheet in NYU Classes under Lesson 21. b. Prior to March 15, 2021 the ECB lowered interest rates to provide more economic stimulus in the EU. The 6-month EUR rate on March 15, 2021 is 0.05%. Question: Will this make Peter's interest rate swap be in the money" or "out of the money"? Explain your