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Pricing Interest Rate Swap A. Price a plain vanilla one-year interest rate swap...

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Finance

Pricing Interest Rate Swap

A. Price a plain vanilla one-year interest rate swap with quarterly settlements and $100 million notional principal. The current term structure of LIBOR is given in the table below. Use the 30/360 day count method.

B. What is the quarterly fixed rate payment?

Term structure of interst rates
Maturity
90 5.85%
180 5.85%
270 6.24%
360 6.65%
NP $100,000,000
Settlement period 90 days
Day count (30/360) 360 days

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