A corporation enters a $10 million notional amount interest rate swap. The swap calls for the corporation to pay a fixed rate and receive a floating rate of LIBOR. The payments will be made every 90 days for one year and will be based on the adjustment factor 90/360. The term structure of LIBOR when the swap is initiated is as follows: Term 90 days 180 days 270 days 360 days Rate 4.00% 4.25% 4.45% 4.55% (a) Determine the fixed rate on the swap. (2 marks) (b) Calculate the first net payment on the swap. (3 marks) (c) Assume that it is now 30 days into the life of the swap. The new term structure of LIBOR is as follows: Term Rate 60 days 3.80% 150 days 4.05% 240 days 4.15% 330 days 4.20% Calculate the value of swap. A corporation enters a $10 million notional amount interest rate swap. The swap calls for the corporation to pay a fixed rate and receive a floating rate of LIBOR. The payments will be made every 90 days for one year and will be based on the adjustment factor 90/360. The term structure of LIBOR when the swap is initiated is as follows: Term 90 days 180 days 270 days 360 days Rate 4.00% 4.25% 4.45% 4.55% (a) Determine the fixed rate on the swap. (2 marks) (b) Calculate the first net payment on the swap. (3 marks) (c) Assume that it is now 30 days into the life of the swap. The new term structure of LIBOR is as follows: Term Rate 60 days 3.80% 150 days 4.05% 240 days 4.15% 330 days 4.20% Calculate the value of swap