FOR 1ST QUARTER
Step 1 find the payment size of floating
1-
(100*5.5%/4)=1.375
1-
(100*6%/4)=1.50
Step2 find the discounting rate
(1+So-6/4) =(1+ So-3/4)(1+ So-3/4)
=(1+5.5/4)( 1+6/4)
=(2.375)(2.5)
=5.9375
Step3 find the pv floating amounts
=(1.375/1+5.5%/4)^1+( 1.375/1+6%/4)^2
=1.356+1.5822
=2.939
Step4 find the fixed rate
2.939 ={(FC/4*100)/1+5.5%/4}+{(FC/4*100)/1+5.938%/4}
={(FC/4*100)/1.01375}+{(FC/4*100)/1.6062}
=
FOR 2ND QUARTER
Step 1 find the payment size of floating
1-
(100*5.5%/4)=1.375
1-
(100*6%/4)=1.50
Step2 find the discounting rate
(1+So-6/4) =(1+ So-3/4)(1+ So-3/4)
=(1+5.5/4)( 1+6/4)
=(2.375)(2.5)
=5.9375
Step3 find the pv floating amounts
=(1.375/1+5.5%/4)^1+( 1.375/1+6%/4)^2
=1.356+1.5822
=2.939
Step4 find the fixed rate
2.939 ={(FC/4*100)/1+5.5%/4}+{(FC/4*100)/1+5.938%/4}
={(FC/4*100)/1.01375}+{(FC/4*100)/1.6062}
=