From the pay fixed side, value the swap based on the following information:

Notional Value = $100,000,000;

Time to Maturity = 1.25 years (i.e. 15 months);

Fixed Rate = 4.00% p.a. and is paid semi-annually;

Floating Rate is the six-month BBSW which was 3.8% p.a. continuous compounding 3 months ago;

The 3-month and 9-month and 15 month BBSW rates are 4%, 41.% and 4.2%, respectively. These rates are nominal annual with continuous compounding