Fixed-for-floating Interest A monthly fixed-for-floating Interest Rate Swap (IRS), with a first transfer on 03/24/23, the second transfer Rate Swap (IRS) Description on 04/24/23, and the third and final transfer on 05/24/23. The notional amount is $1,000,000. The floating rate is the month spot rate. Assume that the fxed-rate payer is IBM, and the floating rate payer is Citi. The floating rate payment on 03/24/23 is based on the 1 -month spot rate on 02/24/23 (known today). The floating rate payments on 04/24/23 and 05/24/23 is based on the 1 -month spot rate on 03/24/23 and 04/24/23 respectively (neither of which are known today). Note "1: The ficed rate is denoted az rs, and is in cell B13. We will colve for it. Note in2: The fixed rate payer (IBM) payz $1,000,000(exp/rg+(day= in month)/365 )1) at each date. Note #3 : The floating rate payer (CiT) paya $1,000,000(exp(n1 muil/(t) (dayz in month )/365)1) at date t. IRS Start Date 2023/3/24 Note: we enter the swap today, on 02/24/24, but it malea itz first trancaction on 03/24/23. IRS End Date 2023/5/24 Swap Notional $1,000,000 Swap Fixed Rate rs 4% Note: the value in this cell is a sow. Part A: 10 points Today's 1-month spot rate covers the swaps first floating payment, made on 03/24/23. We do not know Understanding the swap's the 1-month spot rates on 03/24/23 and 04/24/23 which determine the floating rate payment of the swap cash flows. on 04/24/23 and 05/24/23. Consider a hypothetical where the spot rates are given in cells B21 and B22 What are the cash flows of the swap? Assume the floating rate of the swap is given by B17. This rate is a placeholder for now and in the next steps we will find the right one that sets the price of the swap to 0 Part B: 5 points Using the spot rates table provided, compute forward rates f002/24/23(03/24/23,04/24/23) and Calculating forward rates. fmom /04/24/23.05/24/23L. Hint: theze values are known today because you can compute them bazed on the spot rates obsenved on 02/24/23 (provided in B6-CQ above)- f00/24/23(03/24/23,04/24/23)f00/24/23(04/24/23,05/24/23)PartBPartB Part E: 5 points What you are looking at now is IBM having a "known" stream of monthly cash flows in the Part E answer Value of the swap "pretend" swap above. Given that the swap rate is rs in cell B17, what is the present value of goes here. these cash flows in part D? This pins down the value of both the "pretend" but also the actual swap to IBM given the fixed swap rate in B17. Hint: thia ia not very hard, but once you perform thiz step, you're almost done with pinning down zwap rate rs. When computing prezent value, uze the spot rate table provided in the beginning of the problem, as the dizcount rate for each date will be different. Just like Week 2 material. Part F: 5 points What is the right swap rate rs in cell B17 that sets the value of the swap for IBM to 0 , i.e., Finding the fixed swap the one that sets the answer to Part E to 0 ? Report it in 149 . After you do, make sure to rate r3 reset cell B17 to 4%, so that your answers to all the questions above are unaffected. When Part F answer you reset that cell, make sure 149 does not revert back to 4% as well. goes here. Hint: goal-zeek iz uzeful. Fixed-for-floating Interest A monthly fixed-for-floating Interest Rate Swap (IRS), with a first transfer on 03/24/23, the second transfer Rate Swap (IRS) Description on 04/24/23, and the third and final transfer on 05/24/23. The notional amount is $1,000,000. The floating rate is the month spot rate. Assume that the fxed-rate payer is IBM, and the floating rate payer is Citi. The floating rate payment on 03/24/23 is based on the 1 -month spot rate on 02/24/23 (known today). The floating rate payments on 04/24/23 and 05/24/23 is based on the 1 -month spot rate on 03/24/23 and 04/24/23 respectively (neither of which are known today). Note "1: The ficed rate is denoted az rs, and is in cell B13. We will colve for it. Note in2: The fixed rate payer (IBM) payz $1,000,000(exp/rg+(day= in month)/365 )1) at each date. Note #3 : The floating rate payer (CiT) paya $1,000,000(exp(n1 muil/(t) (dayz in month )/365)1) at date t. IRS Start Date 2023/3/24 Note: we enter the swap today, on 02/24/24, but it malea itz first trancaction on 03/24/23. IRS End Date 2023/5/24 Swap Notional $1,000,000 Swap Fixed Rate rs 4% Note: the value in this cell is a sow. Part A: 10 points Today's 1-month spot rate covers the swaps first floating payment, made on 03/24/23. We do not know Understanding the swap's the 1-month spot rates on 03/24/23 and 04/24/23 which determine the floating rate payment of the swap cash flows. on 04/24/23 and 05/24/23. Consider a hypothetical where the spot rates are given in cells B21 and B22 What are the cash flows of the swap? Assume the floating rate of the swap is given by B17. This rate is a placeholder for now and in the next steps we will find the right one that sets the price of the swap to 0 Part B: 5 points Using the spot rates table provided, compute forward rates f002/24/23(03/24/23,04/24/23) and Calculating forward rates. fmom /04/24/23.05/24/23L. Hint: theze values are known today because you can compute them bazed on the spot rates obsenved on 02/24/23 (provided in B6-CQ above)- f00/24/23(03/24/23,04/24/23)f00/24/23(04/24/23,05/24/23)PartBPartB Part E: 5 points What you are looking at now is IBM having a "known" stream of monthly cash flows in the Part E answer Value of the swap "pretend" swap above. Given that the swap rate is rs in cell B17, what is the present value of goes here. these cash flows in part D? This pins down the value of both the "pretend" but also the actual swap to IBM given the fixed swap rate in B17. Hint: thia ia not very hard, but once you perform thiz step, you're almost done with pinning down zwap rate rs. When computing prezent value, uze the spot rate table provided in the beginning of the problem, as the dizcount rate for each date will be different. Just like Week 2 material. Part F: 5 points What is the right swap rate rs in cell B17 that sets the value of the swap for IBM to 0 , i.e., Finding the fixed swap the one that sets the answer to Part E to 0 ? Report it in 149 . After you do, make sure to rate r3 reset cell B17 to 4%, so that your answers to all the questions above are unaffected. When Part F answer you reset that cell, make sure 149 does not revert back to 4% as well. goes here. Hint: goal-zeek iz uzeful