In an interest rate swap, a financial institution has agreed to pay 2.8% per annum ( fixed rate) and to receive three-month LIBOR ( floating rate) in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 7 months. Three-month forward LIBOR for all maturities is currently 3.2% per annum. The three-month LIBOR rate two months ago was 2.4% per annum. OIS rates for all maturities are currently 3 % with continuous compounding. All other rates are compounded quarterly. What is the value of the swap? ( You can use the steps to obtain the net PV of the swap similar to the one provided in the discussion notes for the chapter)