Using the following data, calculate the fixed-rate payer's first two net quarterly payments/receipts for a hypothetical interest rate swap described below.
Notional principal $10 million
Fixed rate 7.00%
Days in first quarter 91
Days in second quarter 92
Current LIBOR (LIBOR0) 5.00%
Expected LIBOR (LIBOR1) 5.30%
Expected LIBOR (LIBOR2) 4.80%
Please help me with the formula to obtain the answer.© BrainMass Inc. brainmass.com December 15, 2022, 4:55 pm ad1c9bdddf
The fix rate payer in a swap deal will always pay at the fixed rate. ...
This solution assists in determining a quarterly payment for an interest rate swap.