100% OH 09:58 3A2582 T + 0 3. You are given the following prices for zero-coupon bonds with each having a maturity value of one Time to maturity 1 Year 2 Year 3 Year 4 Year 5 Year Price 0.93 0.90 0.87 0.70 A five-year interest rate swap has a level notional amount of 100.000. Each settlement period is one year and the variable rate is the one-year spot interest rate at the beginning of the settlement period. (10) (a) Determine the swap rate for this interest rate swap and calculate the net swap payment at the end of the first year for the puyer. 0.95 (b) Three years have clapsed and the spot interest rates have been updated as follows. Period of time 1 Year 2 Year 3 Year 4 Year 5 Year Spot Interest Rate 4.0% 5.0% 6.0% 70% 8.0% Calculate the market value of the swap for the payer's perspective > 100% OH 09:58 3A2582 T + 0 3. You are given the following prices for zero-coupon bonds with each having a maturity value of one Time to maturity 1 Year 2 Year 3 Year 4 Year 5 Year Price 0.93 0.90 0.87 0.70 A five-year interest rate swap has a level notional amount of 100.000. Each settlement period is one year and the variable rate is the one-year spot interest rate at the beginning of the settlement period. (10) (a) Determine the swap rate for this interest rate swap and calculate the net swap payment at the end of the first year for the puyer. 0.95 (b) Three years have clapsed and the spot interest rates have been updated as follows. Period of time 1 Year 2 Year 3 Year 4 Year 5 Year Spot Interest Rate 4.0% 5.0% 6.0% 70% 8.0% Calculate the market value of the swap for the payer's perspective >