An investor has a few interest rate swaps to reduce his interest rate exposure. Here are the upcoming reset and payment dates with their respective conventions. Use the given calendar to determine the exact reset dates and payment dates, respectively. (a) The reset date is February 19, reset convention is 2 business days Preceding (b) The payment date is March 30 , payment convention is Following (c) The payment date is March 30, payment convention is Modified Following (d) Using the same calendar, calculate the cash flows of the fixed and floating legs of the interest rate swap over the first payment period. The swap notional is $200 million. The swap owner is receiving a fixed rate of 2.25%, on a quarterly 30/360 basis, paying LIBOR plus 75 basis points on a quarterly Act /360 basis for 2 years. We are at the start date of January 2, 2018. LIBOR fixing is taken 2 days prior to the start of the period (see the below table for the LIBOR fixings). The payment is done on the last day of the period (modified following is the payment convention on swaps). State clearly the amount of the two legs, what cash flow will actually happen and on which day it will happen. days, Saturdays and Sundays are non-business days An investor has a few interest rate swaps to reduce his interest rate exposure. Here are the upcoming reset and payment dates with their respective conventions. Use the given calendar to determine the exact reset dates and payment dates, respectively. (a) The reset date is February 19, reset convention is 2 business days Preceding (b) The payment date is March 30 , payment convention is Following (c) The payment date is March 30, payment convention is Modified Following (d) Using the same calendar, calculate the cash flows of the fixed and floating legs of the interest rate swap over the first payment period. The swap notional is $200 million. The swap owner is receiving a fixed rate of 2.25%, on a quarterly 30/360 basis, paying LIBOR plus 75 basis points on a quarterly Act /360 basis for 2 years. We are at the start date of January 2, 2018. LIBOR fixing is taken 2 days prior to the start of the period (see the below table for the LIBOR fixings). The payment is done on the last day of the period (modified following is the payment convention on swaps). State clearly the amount of the two legs, what cash flow will actually happen and on which day it will happen. days, Saturdays and Sundays are non-business days