What is the npv of the swap that has a notional principal

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Given the following spot yield curve, what should be the fixed rate so that the NPV of the 4- year SWAP is zero.

Spot Rates

R01 = 13.750%

R02 = 14.500%

R03 = 15.250%

R04 = 16.000%

Problem 1: Instead of this fixed SWAP rate, if bank agreed to receive fixed payments based on 15.00% fixed rate and pay floating payments implied by the above yield curve, what is the NPV (to fixed payer) of this SWAP that has a notional principal of $100 million?

 

Reference no: EM132797372

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