The LIBOR zero curve has been calculated as follows: 6 months 1 year 1.5 year 2 year 1.7 %pa 1.9 %pa 2.1 %pa 2.3 %pa All interest rates in these questions are specified as APRs as per LIBOR. One year ago you entered a 3-year 3.1% payer swap for LIBOR on a notional principal of $10M. Today you would like to exit the position and close or offset the swap. Determine the amount that you must pay or receive (and state which) to close the swap. Two years ago you entered a 30x36 FRA to pay 2.5% against LIBOR on a notional principal of $10M. Today you would like to exit the position and close or offset the FRA Determine the amount that you must pay or receive (and state which) to close the FRA. 2. Three years ago you wrote a five-year interest rate cap of 3% on LIBOR at 6-month intervals on a notional principal of $10M. Today you would like to close or offset the position. You believe the volatility of LIBOR will be 30% flat with continuous compounding. Determine the expected cost of offsetting the position. 3. The LIBOR zero curve has been calculated as follows: 6 months 1 year 1.5 year 2 year 1.7 %pa 1.9 %pa 2.1 %pa 2.3 %pa All interest rates in these questions are specified as APRs as per LIBOR. One year ago you entered a 3-year 3.1% payer swap for LIBOR on a notional principal of $10M. Today you would like to exit the position and close or offset the swap. Determine the amount that you must pay or receive (and state which) to close the swap. Two years ago you entered a 30x36 FRA to pay 2.5% against LIBOR on a notional principal of $10M. Today you would like to exit the position and close or offset the FRA Determine the amount that you must pay or receive (and state which) to close the FRA. 2. Three years ago you wrote a five-year interest rate cap of 3% on LIBOR at 6-month intervals on a notional principal of $10M. Today you would like to close or offset the position. You believe the volatility of LIBOR will be 30% flat with continuous compounding. Determine the expected cost of offsetting the position. 3