3.18 Company Z enters into a 5-year interest rate swap contract on 1 January 2015 as the fixed-rate payer party. The settlement

period is 1 year. The settlement dates are 31 December of each year from 2015 to 2019. The spot rates of interest at the beginning of various years for investment horizons of t = 1, 2, 3, 4 and 5 years are given in the following table: [111112015 lian 20MB I Jun 20F! [Jan 2018 Han 20l9 0.7 l '5 1.43% 2.05% 2.94% 3.55% (a) Assuming a level notional amount of $1 million for the contract, determine the swap rate. (b) Suppose the contract is an accreting swap with notional amounts of $1 million, $3 million, $5 million, $7 million and $9 million. Determine the swap rate. (c) Suppose the contract is an amortizing swap with notional amounts of $5 million, $4 million, $3 million, $2 million and $1 million. Determine the swap rate. ((1) Calculate the interest rate swap net payment on 31 December 2016 for Company Z, assuming a level notional amount of $1 million for the contract. (e) Immediately after the net payment is settled on 31 December 2016, calculate the market value of the interest rate swap with a level notional amount of $1 million, if Company Z would like to sell the contract to another party. (f) Determine the swap rate on 1 January 2015 if it is a 1-year