Exercise 1.2 Swaps Assume the risk-free rates and discount curve calculated in Exercise 1a. You have a swap with the following characteristics: Receive 3% fixed and pay float Fixed and Float pay semi-annual 10-year maturity Notional is $1,000,000 What is the value of the swap? What is the par swap rate? What is the swap value if all risk-free rates are 1% higher? What is the par forward starting swap rate for a swap starting in 5 years for five-years (5x5)?

Assume the risk-free rates and discount curve calculated in Exercise 1a. You have a swap with the following characteristics: Receive 3% fixed and pay float Fixed and Float pay semi-annual 10-year maturity Notional is $1,000,000 What is the value of the swap? What is the par swap rate? What is the swap value if all risk-free rates are 1% higher? What is the par forward starting swap rate for a swap starting in 5 years for five-years (5x5)? Assume the risk-free rates and discount curve calculated in Exercise 1a. You have a swap with the following characteristics: Receive 3% fixed and pay float Fixed and Float pay semi-annual 10-year maturity Notional is $1,000,000 What is the value of the swap? What is the par swap rate? What is the swap value if all risk-free rates are 1% higher? What is the par forward starting swap rate for a swap starting in 5 years for five-years (5x5)