a. Suppose that at the inception of a five- year interest-rate swap in which the refer- cncc rate io three-month LIBOR, the pre- sent value of the floating-rate payments is $16,555,000. The fixed-rate payments are assumed to be semiannual. Assume also that the following is computed for the fixed-rate payments (using the notation in the chapter):

What is the swap rate for this swap?

b. Suppose that the five-year yield from the on-the-run Treasury yield curve is 6.4%. What is the swap spread?AppendixLO1

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notional amount x days in period: 360 x forward discount factor for period! = $236,500,000 SWI