(b) An interest rate swap with principal of $100 million involves the exchange of 6% per annum (semiannually compounded) for 6-month LIBOR. The remaining life of the swap is 17 months. Interest is exchanged every six months. The 5 month, 11 month and 17 month rates are 4.3%, 5.1% and 5.3% with continuous compounding, Six-month LIBOR was 4.8% one month ago (with annual com- pounding). (i) What is the value of the swap to the party paying fixed (use decomposi-tion into forward contract)? (30%) (ii) What is the value of the swap to the party paying floating (use decom- position into bonds)? (30%)