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You have entered into a 1-year deferred swap with a 4-year tenor. At each time period the nominal amount is $100,000. The spot rates at
You have entered into a 1-year deferred swap with a 4-year tenor. At each time period the nominal amount is $100,000. The spot rates at time 0 are 5%, 6%, 7%, 7.5%, 8% and 8.5% respectively. When entering into you swap the counterparty will pay the float but you will pay the fixed based on the spot rate plus 10 basis point for each time period. After the second payment you immediately sell your swap. At this time the spot rates are 6%, 7%, 9% and 9.1% how much will you sell the swap for
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