Consider an exotic fixed income security with 1 year remaining to maturity. On maturity, the security holder will receive $100 face value. Coupons are paid quarterly to the security holder according to the 3-month LIBOR rate. In addition, on maturity and only on maturity, the exotic security holder will have to pay a variable interest that equals to the 4-month LIBOR rate. The following table shows the current LIBOR continuously compounded rate with different maturities: LIBOR LIBOR Maturity 1 Maturity 7 2 8 3 5.0% p.a. 5.1% p.a. 5.2% p.a. 5.3% p.a. 5.3% pa. 5.4% p.a. 9 10 5.5% p.a. 5.5% p.a. 5.6% p.a. 5.7% p.a. 5.8% p.a. 5.9% p.a 4 5 6 11 12 For example, the 1-mth LIBOR is 5.0% p.a. compounded continuously. You can treat the LIBOR rates presented in table above as the discount rates/spot rates with different maturities. Required: What is the current price of the exotic fixed income security? Show all of your workings