. Consider the following interest-rateswap:
•the swap starts today, January 1 of year 1 (swap settlementdate)
•the floating-rate payments are made quarterly based on actual /360
•the reference rate is 3-month LIBOR
•the swap rate is 6%
•the notional amount of the swap is $40 million
•the term of the swap is three years
(a) Suppose that today’s 3-month LIBOR is 5.7%. Whatwill the fixed-rate payer for this interest rate swap receive onMarch 31 of year 1 (assuming that year 1 is not a leapyear)?
(b) What will the fixed-rate payer for this interestrate swap pay on March 31 of year 1 (assuming that year 1 is not aleap year)?
