3 It is January 1, 2022 A bank has thirty more months remaining in an interest rate swap with semiannual payments according to which it has agreed to receive APR 8 compounded semiannually on a notional principal of $50,000,000 in return for the prevailing six month LIBOR rate If the first swap payments are exactly six months away, compute the value of this fixed to floating interest rate swap from the perspective of the bank based on the LIBOR zero rate term structure given below in continuously compounded form 6 month 7 00 12 month 18 month 24 month 8 00 8 50 9 00 LIBOR 30 month 9 25

Question

3  It is January 1, 2022  A bank has thirty more months remaining in an interest rate swap with semiannual payments according to which it has agreed to receive APR 8  compounded semiannually on a notional principal of $50,000,000 in return for the prevailing six month LIBOR rate  If the first swap payments are exactly six months away, compute the value of this fixed to floating interest rate swap from the perspective of the bank based on the LIBOR zero rate term structure given below in continuously compounded form  6 month 7 00  12 month 18 month 24 month 8 00  8 50  9 00  LIBOR 30 month 9 25

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3. It is January 1, 2022. A bank has thirty more months remaining in an interest rate swap with semiannual payments according to which it

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