Q 1: 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. B. What is the quarterly fixed rate payment?

	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
A. Fixed Rate		% per annum
B. Fixed Rate Payment		(in US dollar)