Question
suppose YOU are the pay fixed counterparty in a plain vanilla fixed vs. floating swap, having a notional value of 100,000. The fixed side would
suppose YOU are the pay fixed counterparty in a plain vanilla fixed vs. floating swap, having a notional value of 100,000. The fixed side would pay 6% annually and the floating side would pay LIBOR. Today, at date t-0, annualized LIBOR=4%. At t=3 months, Libor=4.80%. At t=6months, libor=6.00%. At t-9months, libor=6.40%.
Notice this is a quarter swap, with quarterly payment dates. in 6 months and in 9 months, specify who owes what, AND the new payment YOU should make or receive. NOTE- THE ANSWER ASKS ONLY FOR THE PAYMENT(S) AT DATE 6 AND 9 MONTHS NOW
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