4. Suppose that the LIBOR rates (annualized, semiannual compounding) for maturities up to 2 years are given by the following table: 6 months 12 months 18 months 24 months LIBOR 6% 6.2% 6.4% 6.6% a) What is the market fixed rate (annualized, semiannual compounding) for a two- year fixed-floating swap with semiannual payments in which the floating rate at the end of each six-month period is the six-month LIBOR rate at the beginning of the period? b) XXX entered into this swap, as the fixed-rate payer, with a notional amount of 10 million dollars. Two months later, suppose that the market LIBOR rate term structure becomes flat and equal to 6% (annualized, continuous compounding) for all maturities. What is the value of the swap to XXX? c) Consider a new swap that is the same as the swap in part a), except that the floating rate in the new swap is (10% - LIBOR) (annualized, semiannual compounding). What is the market swap rate for this new swap? d) Consider, again, the same swap in part a) and assume that the fixed rate of the swap is the market swap rate that you have calculated in part a). Suppose that the swap now has a new feature that will terminate the swap contract (without any party being compensated) whenever the floating 6-month LIBOR rate reaches above 7.5% before maturity. Without making any numerical calculations, do you expect the new swap to have positive, zero, or negative value to the fixed-rate payer? Why