Currently, the corporate debt liabilities have a market value of USD $530,000,000,$ a modified duration

of $5,$ and a BPV of USD $2,500,000.$ The asset portfolio has a market value of USD $300,000,000,$ a

modified duration of $7\mathrm{.}5,$ and a BPV of EUR $2,000,000.$ The duration drift has arisen because of a

widening spread between corporate and government bond yields as interest rates in general have

come down. The lower yields on government bonds have increased the modified durations relative to

corporates. The asset manager estimates that the BPV for a $7-$year swap is about USD $6\mathrm{.}3$ per dollar

notional. If the current currency rate is $1\mathrm{.}2$ EUR per $1$ USD, find the amount $($notional$)$ that is need to

be completely duration hedged.

Using the following information

And assuming an A$/360$ day$-$count convention, find

a$.$ The rate of an annual $2-$year swap where the

i$.1^{st}$ floating rate is set on $1$ Feb $24$

ii$.4^{th}$ floating rate is set on $1$ Aug $25$

iii. $1^{st}$ cashflow is exchanged on $1$ Aug $24$

iv$.4^{th}$ cashflow is exchanged on $1$Feb$26$

b$.$ The rate of an annual $2-$year swap where the

i$.1^{st}$ floating rate is set on $1$ Feb $25$

ii$.4^{th}$ floating rate is set on $1$ Aug $26$

iii. $1^{st}$ cashflow is exchanged on $1$ Aug $25$

iv$.4^{th}$ cashflow is exchanged on $1$Feb$27$

c$.$ What is the PVBP for the swaps in a$.$ and b$.$