Exercise $5$

Companies A and B have been offered the following rates per annum on a $$20$ million five$-$

year loan:

Company A requires a Floating$-$rate Loan; company B requires a fixed$--$rate Joan. Design

a swap that will net a bank, acting as intermediary, $0\mathrm{.}1\%$ per annum and that will appear

equally attractive to both companies.