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Consider a 1year swap that is initiated today between Company A and Company B. The terms of the deal require that the two companies make

Consider a 1‐year swap that is initiated today between Company A and Company B. The terms of the deal require that the two companies make quarterly payments based on a notional principal of $20 million. LIBOR spot rates today are as follows:

Term

Rate

90-day

0.0028

180-day

0.0044

270-day

0.0058

360-day

0.0073

LIBOR rates 90 days later are as follows:

Term

Rate

90-day

0.0031

180-day

0.0048

270-day

0.0061

The quarterly fixed‐rate payment is?

The quarterly swap fixed rate is?

The next floating‐rate payment is?

The value of this swap on Day 90 of its tenor for the fixed‐rate receiver is?


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