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A sh.100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6 month LIBOR (floating) is exchanged
A sh.100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6 month LIBOR (floating) is exchanged for 7% per annum (compounded semi-annually). The average bid-offer rate being exchanged for 6-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The 6 -month LIBOR rate was 4.6% per annum 2 months ago. Required: What is the current value of the swap to the party paying floating
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