Problem $13-08$

Evaluate the following pure$-$yield pickup swap: You currently hold a $15-$year, AA$-$rated, $8\mathrm{.}0$ percent coupon bond priced to yield $10\mathrm{.}5$ percent. As a swap candidate, you are considering a $15-$year, AArated, $9\mathrm{.}5$ percent coupon bond priced to yield $11\mathrm{.}0$ percent. $($Assume semiannual payments and reinvestment at $11\mathrm{.}0$ percent, $\backslash (\backslash$$ $1,000\backslash )$ par value.$)$ Do not round intermediate calculations. Round your monetary answers to the nearest cent and percentage answers and value of swap to two decimal places. You may use Appendix C to answer the questions.