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    Interest rate swap

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    Using the following data, calculated the fixed-rate payer's first two net quarterly payments/receipts for a hypothetical rate swap described below:

    Notional Principal $10 million
    Fixed Rate 7.0%
    Days in first quarter 91
    Days in second quarter 92
    Current LIBOR (LIBOR0) 5.0%
    Expected LIBOR (LIBOR1) 5.3%
    Expected LIBOR (LIBOR2) 4.8%

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    Solution Summary

    The solution provides calculations for calculating the fixed rate payments in the case of interest rate swaps