A company has just got a financing from a bank. The amount of loan is $1m. It is bullet for 2 years maturity. Interest is paid semiannually on 6-Month USD Libor rate. The company is concerned about rate increase and thus considers hedging the interest rate risk via vanilla interest rate swap. The zero rates are as follows: Maturity Zero Rate 0.50 3.30% 1.00 3.20% 1.50 3.10% 2.00 3.50% Q-1) Calculate the zero-cost swap rate. Q-2) Assume the company transacted the swap in Question 1 and 6 months later all the zero rates have decreased by 0.20%. Calculate the MtM of the swap from company's perspective. A company has just got a financing from a bank. The amount of loan is $1m. It is bullet for 2 years maturity. Interest is paid semiannually on 6-Month USD Libor rate. The company is concerned about rate increase and thus considers hedging the interest rate risk via vanilla interest rate swap. The zero rates are as follows: Maturity Zero Rate 0.50 3.30% 1.00 3.20% 1.50 3.10% 2.00 3.50% Q-1) Calculate the zero-cost swap rate. Q-2) Assume the company transacted the swap in Question 1 and 6 months later all the zero rates have decreased by 0.20%. Calculate the MtM of the swap from company's perspective