just do part (ii) hand written solution

(i) Outline the historical origins of the derivatives markets in Chicago. [8] You are given the following information about the EURE yield curve, as at 1st April 2020. You are working in the Capital Markets division of BAFS Investment Bank. A counterparty of BAFS Investment Bank is due to pay the bank 1,000,000 on 1at December 2020 and 1,000,000 on 1si April 2022. You can assume the Swap rates are quoted on an Ann Act 360 basis. A calendar is given on the next page. Stating any assumptions that you make: (ii) Calculate the present value of the two payments as at 1st April 2020. [15] [Total 23]