Interest Rate Swap: (a) Using an assumed same spot rate curve, 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? Notes: You will have to construct the forward rate curve from the spot rate curve for the above exercise. 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.