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Refer to the Tab Question 1 . Assuming an A / 3 6 5 day - count, use the spreadsheet toa ) b )
Refer to the Tab "Question Assuming an A daycount, use the spreadsheet toa
b
a Find the value of a year spot start quarterly reset swap rate where the first floating
rate gets set on Feb and the last floating rate gets set on Nov with the
information provided in Rows Enter your solution in Cell Lcoloured in yellow
b Find the value of a year forward start semiannual reset varying notional swap where
the first floating rate gets set on Feb and the last floating rate gets set on
November with the information provided in Rows Enter your solution in Cell
Lcoloured in yellow
c Calculate the value of the PVBP for both the swaps in a and b Enter your answers in Cell
Lcoloured in green for a and Cell Lcoloured in green for b Refer to the Tab Question Assuming an A daycount and using all the information
provided, use the spreadsheet to
a Calculate how many of each assets would you need so as to be cashflow
matched with the liabilities given in Cells C C Enter your solutions in Cells F
Fcoloured in yellow
b Calculate how many of Asset would you need so as to be PV matched with the liability
PV Enter your solution in Cell Gcoloured in yellow
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