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24.An interest rate swap has three years of remaining life.Payments are exchanged annually. Interest at 5% is paid,and 12-month LIBORis received.An exchange of payments has
24.An interest rate swap has three years of remaining life.Payments are exchanged annually. Interest at 5% is paid,and 12-month LIBORis received.An exchange of payments has just taken place. The one-yeartwo-vearand three-year LIBOR/swap zero rates are 4%,5%,and 6%.All rates are annually compounded.Suppose the principal is100. The value of the floating rate bond underlying the swap is 100. What is the value of the swap when LIBOR discounting is used?(round the answer two digits after the decimal)
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