A plain vanilla interest rate swap on a notional principal of $100 million has a remaining life of 10 months. Under the terms of the swap, a six-month LIBOR is exchanged for a fixed rate of 8.7% 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 4% per annum with continuous compounding. The six-month LIBOR rate was 4.8% per annum (compounded semi-annually) two months ago. The value of this swap to the party paying the fixed rate is closest to

a. $ -6.22 million b. $ -4.18 million c. $ -8.91 million d. $ -6.09 million