estion 14 16 out of 20 points Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of 2.7% (the fixed rate). You just received a payment at the end of the third quarter. The current 3 month forward rate is 2% There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below. Qtr Day Count Futures Price Maturing at end of Quarter Forward Rate .025 1 90 97 Expected Floating Cash Flow 468,750 568,750 Expected Fixed Cash Flow 506,250 511,875 2 91 97 03 Provide your answers for each of the following by typing in the results of your calculation a) the PV of the expected Floating Cash Flows b) The PV of the expected Fixed Cash Flows c) The final value of the swap Response Feedback: Quarter Day Count Futures Price Maturing at end of quarter Forward Rate Expected Floating Cash Flow Expected Fixed PV of Floating Cash Flow CE PV of Fixed Cash Flow 1 2 90 91 97 97 0.025 0.03 468 750.00 568,750.00 503, 105.59 504,867.08 1,007,972.67 506 250.00 465.838.51 511.875.00 560,963.42 1,026,801.93 value of swap (rec Flo at pay Fixed) 18,829.26 estion 14 16 out of 20 points Last year your bank entered into a plain vanilla swap in which you are receiving the floating cash flow and paying the swap rate of 2.7% (the fixed rate). You just received a payment at the end of the third quarter. The current 3 month forward rate is 2% There are two quarters of payments remaining on the swap. Your boss has asked you to find the current value of the swap. The forecasted cash flows are already calculated and provided below. Qtr Day Count Futures Price Maturing at end of Quarter Forward Rate .025 1 90 97 Expected Floating Cash Flow 468,750 568,750 Expected Fixed Cash Flow 506,250 511,875 2 91 97 03 Provide your answers for each of the following by typing in the results of your calculation a) the PV of the expected Floating Cash Flows b) The PV of the expected Fixed Cash Flows c) The final value of the swap Response Feedback: Quarter Day Count Futures Price Maturing at end of quarter Forward Rate Expected Floating Cash Flow Expected Fixed PV of Floating Cash Flow CE PV of Fixed Cash Flow 1 2 90 91 97 97 0.025 0.03 468 750.00 568,750.00 503, 105.59 504,867.08 1,007,972.67 506 250.00 465.838.51 511.875.00 560,963.42 1,026,801.93 value of swap (rec Flo at pay Fixed) 18,829.26