Reference no: EM132959498

Question - A corporation enters into a 1-year interest rate swap with a notional of €100 million in which it agrees to pay a fixed rate and receive a floating rate of Euribor. The payments are made quarterly based on 30/360 basis. When the swap is initiated, the term structure of Euribor is as follows:

Tenor	Day Count	Euribor (%)
3 months	90	3.00
6 months	180	3.20
9 months	270	3.60
12 months	360	4.00

(a) Determine the initial value and the swap rate today.

(b) Calculate the first net payment on the swap.

(c) Assume that it is now 60 days into the life of the swap. Calculate the value of the swap given that the term structure of Euribor is updated as follows.

Tenor	Day Count	Euribor (%)
1 months	30	2.90
4 months	120	3.10
7 months	210	3.40
10 months	300	3.80