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On January 1, a swap with a notional amount of $100 million is arranged. The...

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Accounting

On January 1, a swap with a notional amount of $100 million is arranged. The reference rate is 3-month LIBOR. Todays 3-month LIBOR is 3.0%, and 3-month Eurodollar futures maturing on June 30 and September 30 are quoted as 96.6 and 96.2. The swap rate is 3.5%. A) What is the fixed-rate payment in the second quarter? B) Find the floating payment in the third quarter. C) Find the present value of the floating payment in the third quarter

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