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    Using the following data, calculate the fixed-rate payer's first two net quarterly payments/receipts for a hypothetical interest rate swap

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    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.

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    https://brainmass.com/business/interest-rates/quarterly-payment-interest-rate-swap-52808

    Solution Preview

    The fix rate payer in a swap deal will always pay at the fixed rate. ...

    Solution Summary

    This solution assists in determining a quarterly payment for an interest rate swap.

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