A $100 million interest rate swap has a remaining life of 11 months. Under the terms of the swap, six-month LIBOR is exchanged for 3% per annum (compounded semi-annually). The average of the bidoffer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 2% per annum with continuous compounding. The six-month LIBOR rate was 1.6% per annum one month ago.

You intend to revalue the swap now by valuing the fixed-rate bond underlying the swap and valuing the floating-rate bond underlying the swap. You should carry as many decimal places as possible when working out your answers (do not round answers as you go). You are asked in this question to hand in all answers in $millions correct to three decimal places. If you do not do this your answers will be incorrect.

1.The current value of the fixed-rate bond underlying the swap is $--------million. Give your answer correct to three decimal places.

2.The current value of the floating-rate bond underlying the swap is $---------million. Give your answer correct to three decimal places.

3.Hence the value of the swap to the party paying floating is $--------million. Give your answer correct to three decimal places.