$($a$)$ Construct an Excel spread$-$

sheet to calculate the at$-$the$-$money Swap Rate of a fixed$-$for$-$floating interest rate

swap with the following inputs:

$$ Trade Date

$$ Swap Notional $($for eg$.10$ million$)$

$$ Coupon Frequency $($semi$-$annual or annual$)$

$$ Maturity $(1$ year to $10$ years$)$

You may price the swap as a strip of Forward Rate Agreements $($FRAs$)$

$($b$)$ Suppose that the interest rate curve shifts down by $10$ basis points $($bps$),$ subsequent

to the inception of the interest rate swap:

i$.$ What is the new mark$-$to$-$market value of the swap from the perspective of the

fixed$-$rate payer?

ii$.$ What is the new mark$-$to$-$market value of the swap from the perspective of the

fixed$-$rate receiver?

Hint: One should be able to change the input parameters in your spread$-$sheet and it should automatically calculate the swap rate for those parameters.