Consider a $5 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 4% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9, and 15 months. Spot LIBOR rates with continuous compounding are as follows: 3 months at 3.4%; 9 months at 3.6%; and 15 months at 3.8%. The LIBOR at the last payment date was 3.1%.

Calculate the value of the swap to the fixed-rate receiver using the FRA methodology.

(An answer using/uploading an excel spreadsheet would be great).