1 Simple Question – Interest rate Swaps (bid only if you are sure to answer correctly)

Q3. Please show the net present value calculation for the following plain vanilla interest rate swap.
Given Information
Interest rate swap:
Pay Leg
Receive Leg
Notional
CAD 100 million
CAD 100 million
Effective Date
10/01/2021
10/01/2021
Maturity Date
10/01/2022
10/01/2022
Coupon
2%
3-month CDOR flat
Pay frequency
Semi-Annual
Semi-Annual*
*CDOR coupons are not compounded.
Rates:
Pay Date
CDOR Float
Discount Factor
01/01/2022
0.64
0.98
04/01/2022
0.68
0.96
07/01/2022
0.70
0.94
10/01/2022
0.76
0.92
Answer:
Please fill in the cash flow and PV for both legs.
Pay Date
Pay Fixed Leg
Cash Flow
Pay Fixed Leg PV
Receive Floating Leg Cash Flow
Receive Floating Leg
PV
Net PV
04/01/2022
10/01/2022
Net PV of Swap