Notional Unit ($N_{f, \text{Unit}}$) = €1,000,000

Multiplier for 1 basis point (0.01%) move on a 3M future: $€1,000,000 \times 0.0001 \times \frac{90}{360} = €25.00$

P/L per Contract (Based on Price Change):

Total Futures P/L: $$ \text{P/L}_{Futures} = 98.16 \times €300.00 = €29,448.00 $$ The Futures results in a Profit of €29,448.00.

Company A:
- Floating-rate borrowing: LIBOR + 0.1%
- Fixed-rate borrowing: 8.0%
- Prefers floating-rate.
Company B:
- Floating-rate borrowing: LIBOR + 0.8%
- Fixed-rate borrowing: 9.5%
- Prefers fixed-rate.
Comparative Advantage Analysis:
- Company A has a 0.7% advantage in floating rates (LIBOR+0.8% - (LIBOR+0.1%)).
- Company A has a 1.5% advantage in fixed rates (9.5% - 8.0%).
- Company A has a greater comparative advantage in fixed-rate borrowing (1.5% vs 0.7%). Thus, Company A should borrow fixed, and Company B should borrow floating.
IRS Transaction:
- Company A borrows fixed at 8.0% from the market.
- Company B borrows floating at LIBOR + 0.8% from the market.
- Company A enters an IRS to *receive* 8.4% fixed and *pay* LIBOR to Company B.
- Company B enters an IRS to *pay* 8.4% fixed and *receive* LIBOR from Company A.

Where $P$ = hypothetical principal notional, $t_i$ = day count fraction of each interest payment period $i$.
$C_i = \text{interest cashflow at time period } i = P \times r \times t_i$.
$D_i$ = discount factor at time $i$.
$D_n$ = discount factor at time $n$ (i.e. at maturity).
$r$ = swap par rate (fixed leg).
NPV: $NPV = -P + \sum_{i=1}^{n} C_i D_i + P D_n$

Example of Fixed Leg PV Calculation:
- Notional: €10,000,000
- Receive Rate: 7.4%
- Discount Factors:
  - 23 Aug 2025: $D_1 = 0.9249$
  - 23 Feb 2026: $D_2 = 0.8825$
- Day count for periods (assuming ACT