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A semi-annual payment interest rate swap where the fixed rate is 4.5% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR
A semi-annual payment interest rate swap where the fixed rate is 4.5% (with semi-annual compounding) has a remaining life of nine months.
The six-month LIBOR rate observed three months ago was 4.9% with semi-annual compounding. Today's three- and nine-month LIBOR rates are 6.2% and 7% (continuously compounded) respectively.
If the swap has a principal value of $15000000, what is the value of the swap to the party receiving the fixed rate of interest?
Please also state the formula and steps, thanks!
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