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A plain vanilla interest rate swap for $1 million, 1-year, quarterly-pay, LIBOR, with a fixed rate of 6% per annum. Libor Rates per annum are:
A plain vanilla interest rate swap for $1 million, 1-year, quarterly-pay, LIBOR, with a fixed rate of 6% per annum. Libor Rates per annum are: 5.5% at t0, and 6.0% at t1.
What is the net payment that the fixed-rate payer will pay at the end of the first period?
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