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answer as soon as possible and do not use excel formula anywhere Question: A ES0 million interest rate swap has a remaining life of 10

answer as soon as possible and do not use excel formula anywhere

Question: A ES0 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, the six-month LIBOR is exchanged for 12% per annum (compounded semiannually) The average of the bid ask rate being exchanged for six month LIBOR in swaps for all maturities is currently 10% per annum with continuous compounding. The six month LIBOR rate was 96% per annum two months ago What is the current value of the swop to the party paying floating

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