II. In a swap, a company receives a floating rate of 3-month LIBOR and in turn pays 2% p.a. compounded quarterly, on a notional principle of $100 million. The swap has a remaining life of 14 months. The continuously compounded LIBOR rates for the next 18 months are provided in the table below. The 3-month LIBOR at the last payment was 0.5% compounded quarterly. What is the value of the swap for the company? (7 marks) 10 1 mo. 0.18% 4 mo. 0.36% 7 mo. 0.87% 1.18% 13 mo. 1.45% 16 mo. 1.55% mo. 2 mo. 0.20% 5 mo. 0.50% 8 mo. 1.00% 11 mo. 1.20% 14 mo. 1.50% 17 mo. 2.00% 3 mo. 0.25% 6 mo. 0.70% 9 mo. 1.05% 12 mo. 1.30% 15 mo. 1.55% 18 mo. 2.35% II. In a swap, a company receives a floating rate of 3-month LIBOR and in turn pays 2% p.a. compounded quarterly, on a notional principle of $100 million. The swap has a remaining life of 14 months. The continuously compounded LIBOR rates for the next 18 months are provided in the table below. The 3-month LIBOR at the last payment was 0.5% compounded quarterly. What is the value of the swap for the company? (7 marks) 10 1 mo. 0.18% 4 mo. 0.36% 7 mo. 0.87% 1.18% 13 mo. 1.45% 16 mo. 1.55% mo. 2 mo. 0.20% 5 mo. 0.50% 8 mo. 1.00% 11 mo. 1.20% 14 mo. 1.50% 17 mo. 2.00% 3 mo. 0.25% 6 mo. 0.70% 9 mo. 1.05% 12 mo. 1.30% 15 mo. 1.55% 18 mo. 2.35%