The following table shows information for a three-year swap. (2) (3) (4) (1) Period Day Futures Fwd
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The following table shows information for a three-year swap. (2) (3) (4) (1) Period Day Futures Fwd (5) Discount Count Price Rate Factor (6) Floating Cash flow 90 5.65 1.00000 2 91 94.25 5.75 0.98592 1,428,194 3 90 94.15 5.85 0.97195 1,437,500 4 90 94.05 5.95 0.95794 1,462,500 5 91 93.88 6.12 0.94374 1,504,028 6 90 93.80 6.20 0.92952 1,530,000 7 91 93.74 6.26 0.91518 1,567,222 8 90 93.65 6.35 0.90108 1,565,000 9 91 93.50 6.50 0.88684 1,605,139 10 91 93.45 6.55 0.87251 1,643,056 11 91 93.38 6.62 0.85830 1,655,694 12 90 93.286.72 0.84432 1,655,000 13 91 93.20 6.80 0.83022 1,698,667 Demonstrate that the swap rate is 6.192181%.
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