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Show details of your work. 1. You are paying floating for fixed in an interest rate swap. The notional amount is $1 million and the swap rate is 4%. It is the first reset date (1.5 years remain to maturity) and you have the following spot rate curve. Value the swap for the floating rate payer (you) 2. Your bank has assets of $100 million and liabilities of S90 million. The modified durations of assets and liabilities are 6 and 4 . Your bank pays fixed for floating in a swap. The modified durations of the fixed and floating legs of the swap are 6.0 and 1.0. What notional amount hedges your bank's overall exposure? 3. Calculate the invoice price for a Furodollar futures contract with index price of 98.50 4. Calculate the invoice price for a T-Bond futures contract with quoted price of 9716 where the conversion factor of the cheapest-to-deliver bond is 9900 and the accrued interest on the settlement date will be $800. 5. You manage a $10 million bond portfolio and would like to reduce the portfolio duration from 8 to 6 . The price of a T-bond futures contract is $111,000 and the duration of the T-Bond is 12.0 . What futures position achieves the target duration