This practice exam question was used in Derivatives Pricing course taught to MBA students earlier in August 2012:

Derivative pricing final exam question for practice exams & test prep

The solution is presented in two posts. The first post of the solution focuses on the bootstrapping zero and forward curve part of the exam. It consists of two parts. The first part builds and plots annualized zero and forward rate curves using the data given, YTM of par bonds that pay interest on a semi-annual basis, with the bootstrapping approach. The second part extends the zero and forward curves to price a 10 step semi-annual interest rate swap:

Practice Test Exam Question and Solution – Bootstrapping Zero and Forward Curves Case Study

The second post walks through the actual IRS pricing exercise. We use the extend forward rate curve above and use it to price the interest rate swap and answer the other mark to market/ valuation questions:

Practice Exam Test Question and partial solution: Pricing and MTM of Interest Rate Swaps (IRS)