An interest rate swap with a Notional Amount of $100 has 11 months remaining. One party to the swap makes Fixed Payments of 4.00% APR S-A The other party receives Libor. 2 months ago, 6-month Libor was 6.00% APR S-A Current Libor spot zero rates in CCAR terms are 6.10%, for 5 months and 6.40% for 11 months.

Part A:

Calculate the present value of the 5-month FRA to the party paying the fixed rate and receiving the floating rate.

In other words, calculate today's value of paying the fixed rate and receiving the correct floating rate 5 months from now.

(This is also known as f₅)

Please enter your answer to the 100th of a penny

Part B:

Calculate the present value of the 11-month FRA To the party paying the fixed rate and receiving the floating rate.

In other words, calculate today's value of paying the fixed rate and receiving the correct floating rate 11 months from now.

(This is also known as f₁₁)

Please enter your answer to the 100th of a penny