Consider an interest rate swap of notional principal $1 million and remaining life of nine months, the terms of the swap specify that six-month LIBOR is exchanged for the fixed rate of 10% per annum (quoted with semi-annual compounding). The market prices of unit par zero coupon bonds with maturity dates three months and nine months from now are $0.972 and $0.918, respectively, while the market price of unit par floating rate bond with maturity date three months from now is $0.992. Find the value of the interest rate swap to the fixed-rate payer, assuming no default risk of the swap counterparty.