209. You are given the following prices for zerocoupon bonds with each having a maturity of one: | Time to Maturity 1 year Price 0.97 (a) A threeyear interest rate swap has a level notional amount of 300,000. Each settlement period is one year and the variable rate is the oneyear spot interest rate at the beginning of the settlement period. i. ii. iii. iv. Calculate the swap rate for this interest rate swap. Calculate the net swap payment at the end of the rst year for the payer. One year has elapsed and the oneyear spot interest rate at the start of year 2 is 4.45%. Calculate the net swap payment at the end of the second year for the payer. Two years have elapsed and the oneyear spot interest rate at the start of year three is 5.25%. Calculate the market value of the swap