Pricing Interest Rate Swap

A. Price a plain vanilla one-year interest rate swap with quarterly settlements and $100 million notional principal. The current term structure of LIBOR is given in the table below. Use the 30/360 day count method. (% per annum)

B. What is the quarterly fixed rate payment (in US dollar)?

Term structure of interst rates
Maturity
90	5.85%
180	5.85%
270	6.24%
360	6.65%
NP	$100,000,000
Settlement period	90	days
Day count (30/360)	360	days