A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-months LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for six-month 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. 1) What is the current value of the swap to the party paying floating? 2) What is the value to the party paying fixed?

The value of the fixed-rate bond underlying the swap is

The value of the floating-rate bond underlying the swap is

The value of the swap to the party paying floating is

The value of the swap to the party paying fixed is

Please show work on Excel. Thank you.