For this swap, the institution pays a variable 6-month LIBOR rate and receives a fixed rate of 5% (annual rate, compounded semi-annually). The notional amount of the swap is $100. Currently, there are 7 months left before the swap expires. The LIBOR forward rates for all maturities are 3% per annum (semi-annual compounded annual rate). At the time of the last payment, the posted 6-month LIBOR rate was 4% (semi-annual compounded annual rate). The risk-free spot rates are 2% for all maturities (continuously compounded annual rate).

a) Calculate the value of the swap using the following steps:

i. For a notional amount of $1, calculate the present value of the fixed cash flows of the

swap. Round your answer to 4 decimal places.

ii. For a notional amount of $1, calculate the present value of the floating cash flows of the

swap. Round your answer to 4 decimal places.

iii. For a notional amount of $100, calculate the value of the swap.