An interest rate swap with a notional value of $100m has 1 years and 2 months to maturity. Under the terms of the swap, six-month LIBOR is exchanged for 8% (semi-annual comp) per annum. The Libor/swap rates for maturities of 2, 8, 14 months are 7.0%, 7.5%, 8%, respectively with continuous compounding. The six-month LIBOR 4 months ago was 6.0% (semi-annual comp) per annum. Assume OIS rates are the same as LIBOR rates. What is the current value of the swap to the party paying fixed? An interest rate swap with a notional value of $100m has 1 years and 2 months to maturity. Under the terms of the swap, six-month LIBOR is exchanged for 8% (semi-annual comp) per annum. The Libor/swap rates for maturities of 2, 8, 14 months are 7.0%, 7.5%, 8%, respectively with continuous compounding. The six-month LIBOR 4 months ago was 6.0% (semi-annual comp) per annum. Assume OIS rates are the same as LIBOR rates. What is the current value of the swap to the party paying fixed