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Question One 10 marks A one-year interest rate swap with quarterly settlements is agreed at...

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Question One 10 marks A one-year interest rate swap with quarterly settlements is agreed at a swap rate of 9.5\% p.a. on a notional principal of $10 million. Given the BBSW at the start of each quarter is 10%, 11.5%,9% and 9.5% respectively throughout the year, calculate the swap cash settlements and indicate whether the settlement is payable by the fixed-rate or floating-rate payer in the swap. (Use d/diy = 0.25)

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