(b) Whats the value of a three year payer swap with a notional of $1,000,000 and a fixed rate of 6 (annualized with semi annual compounding) worth Maturity (years) Zero Coupon Bond Prices I 0 5 98 5222 96 1 169 1 5 92 1838 2 87 9913 2 5 84 1973 3 81 0959

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(b) Whats the value of a three-year payer swap with a notional of $1,000,000 and a fixed rate of 6% (annualized with semi-annual compounding) worth?

(b) Whats the value of a three-year payer swap with a notional of $1,000,000 and a fixed rate of 6% (annualized with semi-annual compounding) worth? image text in transcribed

Maturity (years) Zero Coupon Bond Prices I 0.5 98.5222 96.1 169 1.5 92.1838 2 87.9913 2.5 84.1973 3 81.0959

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