What is the value of a three-year payer swap

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Reference no: EM132014164

Suppose you observe the following term structure of interest rates (zero coupon bond prices, per $100 dollars of face): Maturity (years) Zero Coupon Bond Prices 0.5 98.5222 1 96.1169 1.5 92.1838 2 87.9913 2.5 84.1973 3 81.0959

What's the value of a three-year payer swap with a notional of $1,000,000 and a fixed rate of 6% (annualized with semi-annual compounding) worth?

Reference no: EM132014164

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