A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% por annum (compoundod semiannually). The average of the bid-offer rate being exchanged for sixmonth LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. 3) What is the value of the fixed-rate bond underlying the Swap? 103.071 107.001 102.718 102.300 Question 8 (6 points) A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for sixmonth LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. What is its value of the sawp to the party paying fixed? 2.109 100.609 2.109 1.81 A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% por annum (compoundod semiannually). The average of the bid-offer rate being exchanged for sixmonth LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. 3) What is the value of the fixed-rate bond underlying the Swap? 103.071 107.001 102.718 102.300 Question 8 (6 points) A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for sixmonth LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. What is its value of the sawp to the party paying fixed? 2.109 100.609 2.109 1.81