Consider Company A has agreed to pay $6$M LIBOR rate pa$.($under semi$-$annual compounding$)$ and receive fixed $4\%$ pa$.($under semi$-$annual compunding$)$ each half a year under a $2$Y SWAP contract on a principal of $1000000$ GBP$.$ The SWAP has a remaining life of $9$M $($it end on $31\mathrm{.}12\mathrm{.}2020).$ What is the value of this SWAP on $01\mathrm{.}04\mathrm{.}2020,$ if the following quotations of rates $($pa$.,$ under continuous compounding$)$ are known:

Date LIBOR $3$M LIBOR $6$M LIBOR $9$M LIBOR $1$Y

$01\mathrm{.}01\mathrm{.}20203,80\%4,00\%4,10\%4,12\%$

$01\mathrm{.}04\mathrm{.}20203,95\%4,10\%4,15\%4,20\%$

Only one answer is correct. Which one?

a$.$

$1757\mathrm{.}49$ GBP

b$.$

$-1037\mathrm{.}11$ GBP

c$.$

$1236\mathrm{.}47$ GBP

d$.$

$-1252\mathrm{.}08$ GBP

e$.$

$-1741\mathrm{.}68$ GBP

f$.$

$-1236\mathrm{.}47$ GBP