What is the new mark-to-market value of the swap from the perspective of the fixed-rate payer?...

 

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What is the new mark-to-market value of the swap from the perspective of the fixed-rate payer? b. What is the new mark-to-market value of the swap from the perspective of the fixed-rate receiver? 1 2 3 4 5 0,28 0,552 0,906 1,219 1,377 ANNUITY FACTOR at-the-money swap rate DISCOUNT FACTOR FLOATING PAYMENTS FIXED LEG PAYMENTS PV FLOATING PAYMENTS PV FIXED LEG PAYMENTS 0,78125 0.415161016 0,14442132 157192,9825 275630,5584 89062,5 100134,0351 604463,9121 74942,43923 0,041244951 1037031,794 58773,51141 0.013178139 1289748,07 53382,51832 3364067,318 376295,004 1,395255427 6,40740986 280000 552000 906000 1219000 1377000 50000 50000 50000 50000 50000 trade date 1/1/2015 swap notional 1000000 frequency 1 Maturity 1/2/2020 FIXED RATE 0,05 What is the new mark-to-market value of the swap from the perspective of the fixed-rate payer? b. What is the new mark-to-market value of the swap from the perspective of the fixed-rate receiver? 1 2 3 4 5 0,28 0,552 0,906 1,219 1,377 ANNUITY FACTOR at-the-money swap rate DISCOUNT FACTOR FLOATING PAYMENTS FIXED LEG PAYMENTS PV FLOATING PAYMENTS PV FIXED LEG PAYMENTS 0,78125 0.415161016 0,14442132 157192,9825 275630,5584 89062,5 100134,0351 604463,9121 74942,43923 0,041244951 1037031,794 58773,51141 0.013178139 1289748,07 53382,51832 3364067,318 376295,004 1,395255427 6,40740986 280000 552000 906000 1219000 1377000 50000 50000 50000 50000 50000 trade date 1/1/2015 swap notional 1000000 frequency 1 Maturity 1/2/2020 FIXED RATE 0,05

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To find the marktomarket value of the interest rate swap from both the fixedrate payers and fixedrate receivers perspectives we need to calculate the ... View the full answer