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Q4: Pricing of a swap contract Show how to price the following Swap Contract. Tip use Excel to solve this question: Market Data Maturity Zero-Coupon
Q4: Pricing of a swap contract
Show how to price the following Swap Contract. Tip use Excel to solve this question: Market Data Maturity Zero-Coupon Bond Price 1/2/2022 0.995 1/5/2022 0.990 1/8/2022 0.985 0.980 1/11/2022 Swap Contract Data Settlement Date 1 November 2021 Reset Frequency: Quarterly Expiry Date 1 November 2022 1/5/2022 0.990 1/8/2022 0.985 0.980 1/11/2022 Swap Contract Data Settlement Date 1 November 2021 Reset Frequency: Quarterly Expiry Date 1 November 2022 Size of contract 5 million USD Task: Calculate the appropriate price for the Swap (floating and fixed rates) and show all workings. (you can add a picture of your calculated spreadsheet) Step by Step Solution
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