16 out of 20 points Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of 2.7% (the fixed rate). You just received a payment at the end of the third quarter. The current 3 month forward rate is 2% There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below. Qtr Day Count Futures Price Maturing at end of Quarter Forward Rate Expected Floating Cash Flow Expected Fixed Cash Flow 1 90 97 .025 468,750 506,250 2 91 97 .03 568,750 511,875 Provide your answers for each of the following by typing in the results of your calculation a) the PV of the expected Floating Cash Flows b) The PV of the expected Fixed Cash Flows c) The final value of the swap Response Feedback: Futures Price Maturing at end of Quarter Day Count Forward Rate Expected Floating Cash Flow Expected Fixed PV of Floating Cash Flow CF PV of Fixed Cash Flow quarter 1 2 90 91 97 97 0.025 0.03 468,750.00 568,750.00 506,250.00 511,875.00 465,838 51 560,963.42 1,026,801.93 503, 105.59 504,867.08 1,007,972.67 value of swap (rec Flo at pay Fixed) 18,829.26 16 out of 20 points Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of 2.7% (the fixed rate). You just received a payment at the end of the third quarter. The current 3 month forward rate is 2% There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below. Qtr Day Count Futures Price Maturing at end of Quarter Forward Rate Expected Floating Cash Flow Expected Fixed Cash Flow 1 90 97 .025 468,750 506,250 2 91 97 .03 568,750 511,875 Provide your answers for each of the following by typing in the results of your calculation a) the PV of the expected Floating Cash Flows b) The PV of the expected Fixed Cash Flows c) The final value of the swap Response Feedback: Futures Price Maturing at end of Quarter Day Count Forward Rate Expected Floating Cash Flow Expected Fixed PV of Floating Cash Flow CF PV of Fixed Cash Flow quarter 1 2 90 91 97 97 0.025 0.03 468,750.00 568,750.00 506,250.00 511,875.00 465,838 51 560,963.42 1,026,801.93 503, 105.59 504,867.08 1,007,972.67 value of swap (rec Flo at pay Fixed) 18,829.26