Question
In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and receive three-month LIBOR on a notional principal of $100
In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and receive three-month LIBOR on a notional principal of $100 million with payments being exchanged every three months. The swap has 14 months till maturity. The three-month forward LIBOR rates for all maturities are currently 4% per annum. The three-month LIBOR rate one month ago was 3.2% per annum. The risk-free rates for all maturities are currently 3.8% with continuous compounding. All other rates are compounded quarterly. What is the value of the swap? (Write your answer in a decimal number with precision to 2 decimal places, e.g. 1234.56) Please show step by step and with every formula. DO NOT use ChatGPT! Thank you!
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