1. Consider the fixed payer position in a 5.15%/LIBOR swap. What is the net swap CF for the fixed payer on a payment date in which the LIBOR rate used for the payment is 3.98%? Assume a $5M notional principal and semi-annual payments
2. Assume that 50% of a certain type of bonds have defaulted at any point from year 0 through the end of year 3. The year 4 conditional default probability is 50%. What is the year 4 cumulative default probability?