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1. You are paying floating for fixed in an interest rate swap. The notional amount is $1 million and the swap rate is 4%. It is the first reset date (1.5 years remain to maturity) and you have the following spot rate curve.

Maturity (years) Z(n)

0.5

1.0

1.5

1.0%

2.0%

3.0%

Value the swap for the floating rate payer (you)

2. Your bank has assets of $100 million and liabilities of $90 million. The modified durations of assets and liabilities are 6 and 4. Your bank pays fixed for floating in a swap. The modified durations of the fixed and floating legs of the swap are 6.0 and 1.0. What notional amount hedges your bank's overall exposure?

3. Calculate the invoice price for a Eurodollar futures contract with index price of 98.50

Show details of your work. 1. You are paying floating for fixed in an interest rate swap. The notional amount is $1 million and the swap rate is 4%. It is the first reset date ( 1.5 years remain to maturity) and you have the following spot rate curve. Value the swap for the floating rate payer (you) 2. Your bank has assets of $100 million and liabilities of $90 million. The modified durations of assets and liabilities are 6 and 4 . Your bank pays fixed for floating in a swap. The modified durations of the fixed and floating legs of the swap are 6.0 and 1.0. What notional amount hedges your bank's overall exposure? 3. Calculate the invoice price for a Eurodollar futures contract with index price of 98.50 Show details of your work. 1. You are paying floating for fixed in an interest rate swap. The notional amount is $1 million and the swap rate is 4%. It is the first reset date ( 1.5 years remain to maturity) and you have the following spot rate curve. Value the swap for the floating rate payer (you) 2. Your bank has assets of $100 million and liabilities of $90 million. The modified durations of assets and liabilities are 6 and 4 . Your bank pays fixed for floating in a swap. The modified durations of the fixed and floating legs of the swap are 6.0 and 1.0. What notional amount hedges your bank's overall exposure? 3. Calculate the invoice price for a Eurodollar futures contract with index price of 98.50