A $ 100 million interest rate swap has a remaining life of 16 months. Under the terms of the swap, six-month LIBOR is exchanged for 6% per annum (compounded semiannually). The average of the bid offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 8% per annum with continuous compounding. The six-month LIBOR rate was 5% per annum two months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed? A $ 100 million interest rate swap has a remaining life of 16 months. Under the terms of the swap, six-month LIBOR is exchanged for 6% per annum (compounded semiannually). The average of the bid offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 8% per annum with continuous compounding. The six-month LIBOR rate was 5% per annum two months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed