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7. Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 3% pa. (semi-annual compunding) each 6M under a 2Y

7. Consider Company A has agreed to pay 6M LIBOR rate (semi-annual compounding) and receive fixed 3% pa. (semi-annual compunding) each 6M under a 2Y SWAP contract on a principal of 1.000.000 GBP. The swap has a remaining life of 9M (it end on 31.12.2020). What is the value of this SWAP from the perspective of Company B (opposite side) on 01.04.2020, if the following quotations (pa., continuous compounding) are known: Date 01.01.2020 LIBOR 3M 3,20% 3,70% LIBOR 6M 3,22% 3,76% LIBOR 9M 3,24% 4,02% LIBOR 14 3,40% 4,10% 01.04.2020

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