On the day you get to the Bloomberg terminal, use the SWPM function and
start analyzing the fixed-float SWAP given the following: Notional = 100 Million,
Currency: USD, Tenor: 5 years, Leg 1: Pay fixed, Pay Frequency: Semi-Annual,
Leg 2: Receive Float, Reset Frequency : Quarterly, Pay Frequency: Quarterly, use
the interest rates posted on that day.
Attach all the screenshots and answer the following questions:
What is the swap rate?
What is the market Value of the SWAP on the date you create the SWAP?
Attach a screenshot of the Cash Flows for the Leg: Receive Float
What is the DV01 for the fixed payer? What does it mean?
If the interest rates go up by 1 basis point what is the impact on the swap
market value?
