This example is designed to show that a new swap, in which the fixed payments equal the floating payments (in this case 4.00% ), has a value equal to zero. Moments ago, a corporation entered an 18 month swap in which it pays a fixed rate and receives and floating rate. It has the following characteristics: - Notional Amount =$100 - It has exactly 18 month remaining - Fixed Payments at 4.00% APR S-A - 6-month LIBOR is 4.00% APR S-A - CCAR Spot Zero Rates are r6=3.96%,r12=3.96%r18=3.96% CCAR - Note that 3.96% CCAR =m(erim1)=2(e0396/21)=4.00% APR S-A, so all rates are 4.00\% APR S-A Caiculate the value of the swap. This example is designed to show that a new swap, in which the fixed payments equal the floating payments (in this case 4.00% ), has a value equal to zero. Moments ago, a corporation entered an 18 month swap in which it pays a fixed rate and receives and floating rate. It has the following characteristics: - Notional Amount =$100 - It has exactly 18 month remaining - Fixed Payments at 4.00% APR S-A - 6-month LIBOR is 4.00% APR S-A - CCAR Spot Zero Rates are r6=3.96%,r12=3.96%r18=3.96% CCAR - Note that 3.96% CCAR =m(erim1)=2(e0396/21)=4.00% APR S-A, so all rates are 4.00\% APR S-A Caiculate the value of the swap