A plain vanilla 2-year interest rate swap with annual payments has a notional principal of $1 million. 5 months (s) into the swap, the term structure of interest rates is flat at 4.70%. The first floating-rate payment has already been set to 5.00%. The fixed payments are 5.29%. What is the value of this swap?

Answer rating: 100% (QA)

To calculate the value of the swap we need to determine the present value of the fixed and floating ... View the full answer