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You are an interest swap market maker based in Sweden and today is September 11, 2023. The term structure of Swedish money market interest rates
You are an interest swap market maker based in Sweden and today is September 11, 2023. The term structure of Swedish money market interest rates is provided in the table below. (A) One of your clients is planning to issue a 5-year SEK 1.25 billion floating-rate note to fund the construction of a manufacturing plant near Stockholm. The note will pay interest on the ending dates shown in the table. Assuming that your client is a solid credit, construct a plain vanilla SEK-denominated interest rate swap in which your client will make fixed payments to you and receive floating payments from you. Calculate the rate that will make this swap agreement valueless at inception. Present your work in a neat table showing the payment streams, their respective present value, and the swap rate. Use five decimals for the swap rate
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