A dealer has a 1-year Interest rate swap, fed receiver, at LIBOR, beginning in September. The swap resets quarterly. Describe the expected swap payments in percentage terms, with the correct signs, assuming the spot yield curve below. Month Spot yleld Forward Fixed side Expected yields rate floatingside rates Spot December March June Construct a table showing the forward rates and the associated futures prices In September. Long or short? Suppose the forward rates all increase by 1st in October Construct a second table showing the September rates and futures prices, the October rates and futures prices, and the futures gains and losses by contract month. What is the formula for the change in the value of the dealer's book in October? A dealer has a 1-year Interest rate swap, fed receiver, at LIBOR, beginning in September. The swap resets quarterly. Describe the expected swap payments in percentage terms, with the correct signs, assuming the spot yield curve below. Month Spot yleld Forward Fixed side Expected yields rate floatingside rates Spot December March June Construct a table showing the forward rates and the associated futures prices In September. Long or short? Suppose the forward rates all increase by 1st in October Construct a second table showing the September rates and futures prices, the October rates and futures prices, and the futures gains and losses by contract month. What is the formula for the change in the value of the dealer's book in October