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A $100 million interest rate swap has a remaining life of 9 months. Under the terms of the swap, six-month LIBOR is exchanged for 3.5%

A $100 million interest rate swap has a remaining life of 9 months. Under the terms of the swap, six-month LIBOR is exchanged for 3.5% per annum (compounded semiannually). Six-month LIBOR forward rates for all maturities are 2.9% (with semiannual compounding). The six-month LIBOR rate was 2.3% per annum two months ago. OIS rates for all maturities are 2.65% with continuous compounding. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?

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