Consider an interest rate swap that was entered into several years. There is 15 months remaining on the swap. The swap rate is 6.10% and the reference interest rate is 6-month LIBOR. The frequency with which the interest rate payments are swapped is semi-annually. 6-month LIBOR is determined to be

3 months from now 4.20%

9 months from now 4.7%

15 months from now 5.00%

Last six months 5.4%

a. Determine the value of this swap for the two parties for a notional amount of $100.

b. Determine the value of this swap for the two parties for a notional amount of $165,000.

c. Suppose instead that 6-month LIBOR in this illustration has been higher. Would happen to the value of the swap for each counterparty?