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Find the Market Value of a Plain Vanilla Swap from the Perspective

Question 1

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Find the market value of a plain vanilla swap from the perspective of the fixed rate payer in which the upcoming payment is in 30 days,and there is one more payment 180 days after that.The fixed rate is 7 percent and the upcoming floating payment is at 6.5 percent.The notional amount is $15 million.Assume 360 days in a year.The prices of Eurodollar zero coupon bonds are 0.9934 (30 days) and 0.9528 (210 days) .


A) the fixed payer pays $31,763.75
B) the fixed payer pays $71,527.50
C) the floating payer pays $49,500
D) the floating payer pays $194,228
E) none of the above

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