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The term and price of zero-coupon bonds are given in the following table: Time to Maturity Price 1 .98 2 .91 3 .87 4 .83
The term and price of zero-coupon bonds are given in the following table: Time to Maturity Price 1 .98 2 .91 3 .87 4 .83 Roger enters into a 4-year interest rate swap. He wants to swap the floating interest rates for a fixed interest rate. The level notional amount of the swap is 8.000 each year. Three years have elapsed and one year is left on the swap agreement. Calculate the market value of the swap if Roger decided to sell it today assuming the notional value is 8,000 and the 1-year spot interest rate is the implied 1-year spot rate from time 3 to time 4
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