An investment firm entered into a basic interest rate swap with a company called BlueCap $18$ months ago. As per the agreement, the investment firm receives a fixed rate of $10$ percent annually and pays the three$-$month LIBOR on a principal of $$100$ million for a two$-$year period. Payments occur every $3$ months in arrears. Assume that interest rates have been decreasing since the initiation of the swap.

Part I.

Suppose today is the $6$th scheduled cash flow swap date. Three months ago, the $3-$month LIBOR rate was $6\mathrm{.}5$ percent. The current market prevailing interest rate is $6$ percent annually with quarterly compounding. Your supervisor has requested a report on the value of the swap contract. What value should you report?