A plain vanilla interest rate swap on a notional principal of $100 millions has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for a fixed rate of 7% per annum every 6 months. 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 (compounded semi-annually) two months ago. The value of this swap to the party paying the fixed rate is closest to Select one: a. $100.61 millions b. -$2.11 millions c. $2.11 millions d. $102.72 millions A plain vanilla interest rate swap on a notional principal of $100 millions has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for a fixed rate of 7% per annum every 6 months. 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 (compounded semi-annually) two months ago. The value of this swap to the party paying the fixed rate is closest to Select one: a. $100.61 millions b. -$2.11 millions c. $2.11 millions d. $102.72 millions