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A $463million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 4% per
A $463million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 4% per annum (compounded semiannually). Six-month LIBOR forward rates for all maturities are 3% (with semiannual compounding). The six-month LIBOR rate was 2.4% two months ago. OIS rates for all maturities are 2.7% with continuous compounding. What is the current value of the swap, in millions of dollars, to the party paying float?
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