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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

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