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Assume that the following swap instruments are available. The applicable interest rate for the floating side of the swap is 5.02%. Today is March 15, 2002 and there are exactly 90 days between now and the end of the quarter in June.
Instrument
Coupon
Maturity
Swap rates
IRSDB03
5.70%
15-09-03
5.66/5.70
IRSDB07
5.95%
15-09-07
6.02/6.06
IRSDB11
6.85%
15-09-11
7.00/7.04
Required: Calculate the market value of an IRSDB11 swap that has a $1,000,000 face value. If you are paying floating and receiving fixed, does the swap have a positive or negative value to you? Will the swap involve a net cash inflow or outflow for you today?
Detail the various cash-flows (and their timing) associated with using an interest rate swap in the trading game. In what situation would you want to enter the swap as a fixed rate payer?
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