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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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.

$2.49