Detailed Answer
(d) The requirement is to identify the variable that is
not used in valuing an interest rate swap. Answer (d) is correct
because the underlying assets are not relevant. An interest rate
swap involves an exchange of cash flows, usually the exchange of
fixed cash flows for variable cash flows. Answer (a), (b), and (c)
are all incorrect because they are all variables that are used in the
zero-coupon method.
