Calculate the portfolio duration at the time of the purchase. Problem 7.11 A three-year interest rate swap has a level notional amount of 300,000. Each settle- ment period is one year and the variable rate is the one-year spot interest rate at the beginning of the settlement period. The current spot rate is determined by the following prices for zero-coupon bonds with each having a maturity value of one: Time to Maturity 1 Year 2 Years3 Years 4 Years 5 Years Price 0.97 0.93 0.88 0.82 0.75 (a) Calculate the swap rate. (b) Calculate the net swap payment at the end of the first year. (c) One year has elapsed and the one-year spot interest rate at the start of year 2 is 4.45%. Calculate the net swap payment at the end of the second year for the payer. (d) Two years have elapsed and the one-year spot interest rate at the start of year three is 5.25 Calculate the market value of the swap.