profil

Its a semi-annual swap, so coupon payment will be made once in 6months. the swap is already 90 days in, thus first cpn payment will be made 90 days from now and 270 days from now.

.9886 = discount factor for 90 days i.e. value of 1 dollar today, which will be paid 90 days from now
.9652 = discount factor for 270 days i.e. value of 1 dollar today, which will be paid 270 days fron now.

.022 is the cpn payment.

If that helps....