7. In October 15, 2021, the spot-rate curve for quarterly compounding is r(1/4) = 0.02 +0.001x...

  

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7. In October 15, 2021, the spot-rate curve for quarterly compounding is r(1/4) = 0.02 +0.001x (i-1)/4, i=1,...,120. a. (4) Calculate and plot the swap rate curve, assuming semiannual frequency for the fixed leg. b. (4) A year later, in October 15, 2022, the spot-rate curve for quarterly compounding becomes r(14)=0.018+0.00125x(i-1)/4, i=1,...,120. What is the P&L of the long 10-year swap trade entered a year earlier? Assume a notional value of $100m. 7. In October 15, 2021, the spot-rate curve for quarterly compounding is r(1/4) = 0.02 +0.001x (i-1)/4, i=1,...,120. a. (4) Calculate and plot the swap rate curve, assuming semiannual frequency for the fixed leg. b. (4) A year later, in October 15, 2022, the spot-rate curve for quarterly compounding becomes r(14)=0.018+0.00125x(i-1)/4, i=1,...,120. What is the P&L of the long 10-year swap trade entered a year earlier? Assume a notional value of $100m.