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An investor enters into a PKR500,000 quarterly plain vanilla interest rate SWAP as fixed rate payer at a fixed rate of 5%. The floating rate

An investor enters into a PKR500,000 quarterly plain vanilla interest rate SWAP as fixed rate payer at a fixed rate of 5%. The floating rate payer agrees to pay 90-day LIBOR plus 1% margin, 90 day LIBOR is currently 3%.

90-day LIBOR rates are

3.5%

90 days from now

4.0%

180 days from now

4.5%

270 days from now

5% 360 days from now

Calculate the amounts investor pays or receives 90,180, 270 and 360 days from now

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