Calculating the payments on an interest rate swap Bank A enters into a $1,000,000 quarterly-pay plain vanilla interest rate swap as the fixed-rate payer at a fixed rate of 6% based on a 360-thy year. The floating-rate payer agrees to pay 90-day LIBOR plus a 1% margin; 90-day LIBOR is currently 4%. 90-day LIBOR rates are: 4.5% 90 days from now 5.0% 180 days from now 5.5% 270 days from now 6.0% 360 days from now