Mark

Jamie enters into a one-year interest rate swap with Scott to exchange interest payments at the end of every quarter. He agrees to pay the swap rate while Scott pays the variable rate. The swap has a notional amount of 100,000.

The tt-year spot rates at inception are:

tt	stst
0.25	1.00%
0.50	1.15%
0.75	1.30%
1.00	1.45%
1.25	1.60%
1.50	1.85%

Calculate the quarterly swap rate and the net swap payment Jamie pays or receives at the end of the first three months.