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An interest rate swap has been arranged with the following characteristics: (i) a floating rate is being swapped for a fixed rate, where the floating

An interest rate swap has been arranged with the following characteristics: (i) a floating rate is being swapped for a fixed rate, where the floating rate is based on the 1-year spot rate at the start of each settlement period (ii) annual swap payments (iii) a 3-year swap term (iv) a constant notional amount of 100,000 (v) a swap rate of 4.9701% At the time the swap was arranged, the spot rates were: Term in years Spot rate 1 4.10% 2 X 3 5.00% 4 5.20% 5 5.30% Find X An interest rate swap has been arranged with the following characteristics: (i) a floating rate is being swapped for a fixed rate, where the floating rate is based on the 1-year spot rate at the start of each settlement period (ii) annual swap payments (iii) a 3-year swap term (iv) a constant notional amount of 100,000 (v) a swap rate of 4.9701% At the time the swap was arranged, the spot rates were: Term in years Spot rate 1 4.10% 2 X 3 5.00% 4 5.20% 5 5.30% Find X

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