7. You are valuing a fixed-floating swap, making quarterly payments, with 0.9 years to go and notional principal of $1 million. At the swap's last reset date (0.1 years ago), the 3 month LIBOR rate was 0.6% (with quarterly compounding). The fixed leg pays 0.8%, quarterly. You observe LIBOR and OIS zero coupon spot rates as follows (with continuous compounding): Maturity 0.15 years 0.4 years 0.65 years 0.9 years LIBOR Rate OIS Rate 0.70% 0.60% 0.80% 0.70% 0.85% 0.75% 0.90% 0.85% What will the next floating payment on the swap be? (b) What is the forward LIBOR rate from 0.15 years to 0.4 years (with quarterly compound- ing)? (c) What is the forward LIBOR rate from 0.4 years to 0.65 years (with quarterly compound- ing)? (d) What is the forward LIBOR rate from 0.65 years to 0.9 years (with quarterly compound- ing)? (e) What is the value of the swap now? 7. You are valuing a fixed-floating swap, making quarterly payments, with 0.9 years to go and notional principal of $1 million. At the swap's last reset date (0.1 years ago), the 3 month LIBOR rate was 0.6% (with quarterly compounding). The fixed leg pays 0.8%, quarterly. You observe LIBOR and OIS zero coupon spot rates as follows (with continuous compounding): Maturity 0.15 years 0.4 years 0.65 years 0.9 years LIBOR Rate OIS Rate 0.70% 0.60% 0.80% 0.70% 0.85% 0.75% 0.90% 0.85% What will the next floating payment on the swap be? (b) What is the forward LIBOR rate from 0.15 years to 0.4 years (with quarterly compound- ing)? (c) What is the forward LIBOR rate from 0.4 years to 0.65 years (with quarterly compound- ing)? (d) What is the forward LIBOR rate from 0.65 years to 0.9 years (with quarterly compound- ing)? (e) What is the value of the swap now