Sheet1 Sheet2 Swaps 3 month interest rate 6 month interest rate Nominal interest rate 8,00% Effective interest rate Time period 0,08243216 3 8,00% 0,08160000 6 7% Nominal Amount Convention 100000000 0,0833333333 Effective Number of Compounding Annual Rate Fomula Nominal Interest Rate Number of Compounding Periods Periods 1 For the fixed-rate payer: Cash Flow = Fixed Rate x Notional Amount Time Period x Day Count Fraction Total Amount paid Assignment Use the 7% to find the NPV Cash flows 3 Months(8,24%) 6 Months 1 2060804 2 2060804 4080000 6 3 2060804 4 2060804 4080000 6 5 2060804 6 2060804 4080000 6 7 2060804 8 2060804 4080000 6 16486432 16320000