The following question is about interest rate swaps. You need to answer all parts. The zero coupon curve depicted in the table below prevails in the market. In the table the forward rates are denoted as f(1,2), which means the forward rate prevailing over the period from time 1 to time 2. Fill in the forward rates in the table. Give your answers as a decimal correct to four decimal places. (You must carry four decimal places in the interest rate calculation. Eg an interest rate of 3.57% is 0.0357 as a decimal). You must do all calculations in this question with discrete (annual) interest rate compounding. Time (years) 1 2 3 4 Spot rate 0.02 0.022 0.027 0.033 f(0,1)= f(1,2)= f(2,3)= f(3,4)= forward rates With market interest rates as depicted in the table above, company ABC entered a swap (with yearly payments) at time 0 as the floating rate payer (fixed rate receiver), on a notional principal of $1 million. The (correctly calculated) fixed interest rate in the swap is 3.26% per annum, such that there are no up-front cash flows to enter the swap. Fill in the net cash flows that company ABC expects to pay or receive under the swap in the following table. Do not include $ signs, or commas in your answers. Give you answers in whole numbers, making sure that you attach negative signs to cash outflows. Time (years) 1 2 3 4 Net swap cash flows for ABC on $1m notional principal ($) When ABC enters the swap the value of the swap is Opositive Ozero Onegative Immediately after ABC enters the swap, interest rates at all maturities decrease by 50 basis points. Immediately after interest rates have fallen, the value of the swap for ABC will be Opositive Ozero Onegative The following question is about interest rate swaps. You need to answer all parts. The zero coupon curve depicted in the table below prevails in the market. In the table the forward rates are denoted as f(1,2), which means the forward rate prevailing over the period from time 1 to time 2. Fill in the forward rates in the table. Give your answers as a decimal correct to four decimal places. (You must carry four decimal places in the interest rate calculation. Eg an interest rate of 3.57% is 0.0357 as a decimal). You must do all calculations in this question with discrete (annual) interest rate compounding. Time (years) 1 2 3 4 Spot rate 0.02 0.022 0.027 0.033 f(0,1)= f(1,2)= f(2,3)= f(3,4)= forward rates With market interest rates as depicted in the table above, company ABC entered a swap (with yearly payments) at time 0 as the floating rate payer (fixed rate receiver), on a notional principal of $1 million. The (correctly calculated) fixed interest rate in the swap is 3.26% per annum, such that there are no up-front cash flows to enter the swap. Fill in the net cash flows that company ABC expects to pay or receive under the swap in the following table. Do not include $ signs, or commas in your answers. Give you answers in whole numbers, making sure that you attach negative signs to cash outflows. Time (years) 1 2 3 4 Net swap cash flows for ABC on $1m notional principal ($) When ABC enters the swap the value of the swap is Opositive Ozero Onegative Immediately after ABC enters the swap, interest rates at all maturities decrease by 50 basis points. Immediately after interest rates have fallen, the value of the swap for ABC will be Opositive Ozero Onegative