firm xyz enters into an interest rate swap with a dealer in which xyz pays a floating rate of libor on a notional amount of $50,000,000 with semiannual payments based on 30-day months and a 360-day year. suppose that the libor rate is 4.0 percent at the inception of the swap. in turn, it will receive a semiannual payment based on the same $50,000,000 notional amount from the dealer but calculated using a fixed rate of 4.5 percent and 30-day months and a 365-day year. (note: 365-day for fixed-rate vs. the 360-day for libor!) the net payment from the dealer to firm xyz at the first settlement six months into the swap would be: $111,301 $106,164 $107,877 $109,589 $1,000,000
