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Calculate the appropriate price for the swap

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Reference no: EM133060047

Show how to price the following Swap Contract.

Tip use Excel to solve this question:

Market Data

Maturity

Zero-Coupon Bond Price

1/2/2022

0.995

1/5/2022

0.990

1/8/2022

0.985

1/11/2022

0.980

Swap Contract Data

Settlement Date 1 November 2021

Reset Frequency: Quarterly

Expiry Date 1 November 2022

Size of contract 5 million USD

Task: Calculate the appropriate price for the Swap (floating and fixed rates) and show all workings. (you can add a picture of your calculated spreadsheet)

Reference no: EM133060047

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