A company entered into a swap agreement where it pays six$-$month LIBOR and receives $7\mathrm{.}5\%($semi$-$annual payment$)$ on a principal of $$100$ million. The remaining life of the swap is $15$ months. The continuously compounded LIBOR rates for $3-$months, $9-$months and $15-$months are $9\%,9\mathrm{.}5\%,$ and $10\%$ respectively. The six months LIBOR on the last payment date was $9\mathrm{.}25\%($semi$-$annual payment$).$ Find the value of the swap as the difference between the value of a fixed$-$rate bond and the value of the floating$-$rate bond.

Swap Valuation using Bonds

$\backslash$table$[[$Time$,\backslash$table$[[$LIBOR$],[$Rates$]],\backslash$table$[[$Fixed$],[$Bond$]],\backslash$table$[[$Floating$],[$Bond$]],\backslash$table$[[$Discount$],[$Factor$]],\backslash$table$[[$PV of$],[$Fixed Bond$]],\backslash$table$[[$PV of Floating$],[$Bond$]]],[0\mathrm{.}25,,,,,,],[0\mathrm{.}75,,,,,,]]$