1.A 1.5-year fixed-for-floating swap (fixed payments are made semi-annually, and floating payments are made quarterly) was initiated at time t=0. The swap rate is 5.52%. Find the value of this swap three months after initiation. Assume the notional value to be 100 million. Use the following discount factors at initiation (time, t = 0) and after 3 months (time, t = 0.25 years).

Time, t = 0

Time, t=0.25

T

Z(0,T)

T

Z(0,T)

0.25

0.9848

0.25

0.984

0.5

0.9745

0.5

0.968

0.75

0.9618

0.75

0.952

1

0.949

1

0.936

1.25

0.9353

1.25

0.919

1.5

0.9215

1.5

0.904

1.75

0.9084

1.75

0.888

2

0.8953

2

0.873