9. An interest rate swap with a principal of $100 million involves the exchange of 5% per annum (semiannually compounded) for 6-month LIBOR. The remaining life is 14 months. Interest is exchanged every six months. The 2 month, 8 month and 14 month rates are 4.5%, 5%, and 5.4% with continuous compounding. Six- month LIBOR was 5.5% four months ago. What is the value of the swap?

The answer is given: $841,000 assuming floating is received.

Please show the detailed process.

Thanks!