Use Excel to reproduce the table below and then calculate the change in the swap price if all of the forward rates increase by 185 basis points. In this exercise assume that you have just entered into the swap (so the fixed leg payments are all 10% as indicated in the slide). Show the functions and briefly explain the swap price change.

Year Interest Rates(%) Payments Present Values Par Spot Forward DF Fixed Float Fixed Float 1 8.75 8.75 11.1 0.10256410 0.1 0.0875 0.092 0.0805 2 9 9.01 11.62 0.00998003 0.1 0.0927 0.0842 0.078 3 9.25 9.28 12.17 0.00092049 0.1 0.0982 0.0766 0.0753 4 9.5 9.56 10.41 0.00008042 0.1 0.1041 0.0694 0.0722 5 9.75 9.86 13.39 0.00000662 0.1 0.1104 0.0625 0.069 6 10 10.16 14.07 0.00000052 0.1 0.1172 0.0559 0.0656 Sum of PV payments= 41.2939 52.8374 PV of Principal 59.3945 59.3945 PV of All Cash Flows= 1 1 Year Interest Rates(%) Payments Present Values Par Spot Forward DF Fixed Float Fixed Float 1 8.75 8.75 11.1 0.10256410 0.1 0.0875 0.092 0.0805 2 9 9.01 11.62 0.00998003 0.1 0.0927 0.0842 0.078 3 9.25 9.28 12.17 0.00092049 0.1 0.0982 0.0766 0.0753 4 9.5 9.56 10.41 0.00008042 0.1 0.1041 0.0694 0.0722 5 9.75 9.86 13.39 0.00000662 0.1 0.1104 0.0625 0.069 6 10 10.16 14.07 0.00000052 0.1 0.1172 0.0559 0.0656 Sum of PV payments= 41.2939 52.8374 PV of Principal 59.3945 59.3945 PV of All Cash Flows= 1 1