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1. In October 15, 2021, the forward-rate curve for quarterly compounding is 1194) = 0.0175 +0.00125 x = x(i-1), i=1,2,...,120. a. Calculate and plot the
1. In October 15, 2021, the forward-rate curve for quarterly compounding is 1194) = 0.0175 +0.00125 x = x(i-1), i=1,2,...,120. a. Calculate and plot the discount curve. b. Calculate and plot the swap rate curve. c. A trader buys an FRA (i.e., to pay fixed and receive float) on the two-year maturity 3m LIBOR for $1m notional in October 15, 2021, Suppose that one year later, the forward-rate curve becomes 102= 0.019+0.001x(i 1)4, i=1,2,--,120, what will be the P&L of the FRA? d. [Continued from Problem 1.c) Consider the 10-year receiver's swap initiated in October 15, 2021, what will be the MtM of the swap a year later? 1. In October 15, 2021, the forward-rate curve for quarterly compounding is 1194) = 0.0175 +0.00125 x = x(i-1), i=1,2,...,120. a. Calculate and plot the discount curve. b. Calculate and plot the swap rate curve. c. A trader buys an FRA (i.e., to pay fixed and receive float) on the two-year maturity 3m LIBOR for $1m notional in October 15, 2021, Suppose that one year later, the forward-rate curve becomes 102= 0.019+0.001x(i 1)4, i=1,2,--,120, what will be the P&L of the FRA? d. [Continued from Problem 1.c) Consider the 10-year receiver's swap initiated in October 15, 2021, what will be the MtM of the swap a year later
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