Refer to the Tab "Question $1".$ Assuming an A$/365$ day$-$count, use the spreadsheet toa$)$

b$)$

a$.$ Find the value of a $2-$year spot start quarterly reset swap rate where the first floating

rate gets set on $20$ Feb $24$ and the last floating rate gets set on $20$ Nov $25$ with the

information provided in Rows $3-11.$ Enter your solution in Cell L$2($coloured in yellow$).$

b$.$ Find the value of a $1-$year forward start semi$-$annual reset varying notional swap where

the first floating rate gets set on $20$ Feb $25$ and the last floating rate gets set on $20$

November $25$ with the information provided in Rows $15-23.$ Enter your solution in Cell

L$14($coloured in yellow$).$

c$.$ Calculate the value of the PVBP for both the swaps in a$.$ and b$.$ Enter your answers in Cell

L$3($coloured in green$)$ for a$.$ and Cell L$15($coloured in green$)$ for b$.$ Refer to the Tab $$Question $2.$ Assuming an A$/365$ day$-$count and using all the information

provided, use the spreadsheet to

a$.$ Calculate how many of each assets $(110)$ would you need so as to be cashflow

matched with the liabilities given in Cells C$6$ C$10.$ Enter your solutions in Cells F$15$

F$24($coloured in yellow$).$

b$.$ Calculate how many of Asset $2$ would you need so as to be PV matched with the liability

PV$.$ Enter your solution in Cell G$16($coloured in yellow$).$