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Suppose you enter into the 5-year interest rate swap, priced as in (a), for a notional amount of $1 million. You agree to pay fixed

Suppose you enter into the 5-year interest rate swap, priced as in (a), for a notional amount of $1 million. You agree to pay fixed and receive floating.

What will be the swaps value if the spot and forward 6-month LIBOR rates immediately increase by 1 basis point?

What is the DV01 of the swap that you enter into?

Here, you should assume that the fixed rate has been fixed and the first floating payment has been set.

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