Task
In this assignment, you will solve problems about Interest Rate Futures, Forwards, and Swaps.
Instructions

Use your textbook to answer the following questions from Chapter 23:

Exercise 16 and 17.

Please, upload xls, xlsx file.
Please, use the full computing power of Excel.

16. Two firms X and Y are able to borrow funds as follows:
A: Fixed-rate funding at 4% and floating rate at Libor ˆ’ 1%.
B: Fixed-rate funding at 5% and floating rate at Libor + 1%.
Show how these two firms can both obtain cheaper financing using a swap. What swap
would you suggest to the two firms if you were an unbiased advisor?

17. Firm A can borrow fixed rate at 10%. It can also borrow floating at Libor + 1%. The
market swap rate at the bid is Libor versus 8.9% and is Libor versus 9.1% at the ask
(i.e., the firm can enter into a swap by paying fixed at 9.1% or receiving at 8.9%). Find
the cheapest form of financing for the firm if it wishes to be in floating-rate debt.