1.There are 1.25 years remaining in an interest rate swap. The terms of the swap are to pay 6-month LIBOR and receive 8% per annum (with semi-annual compounding) on a notional principal of $100 million. The zero coupon rates with continuous compounding for 3-month, 9-month, and 15-month maturities are 10%, 10.5%, and 11%, respectively. The 6-month LIBOR at the last payment date was 10.2% with semiannual compounding. What is the value of the swap?

A.$2.838 million

B.$3.664 million

C.$4.267 million

D.$5.118 million

E.$6.334 million