On$$ August $1$ a portfolio manager has a$$ bond portfolio$$ worth$$ P $=$ $$10$ million.$$ The duration of the portfolio in$$ October$$ will be$$ Dp $=6$ years.$$ The December T Bond futures price is currently$91-12$ and the$$ cheapest$-$to$-$deliver$$ bond$$ will have a duration of$$ DF $=9$ years at maturity.

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap

to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?

$$100$

million interest rate swap has a remaining life of $10$ months. Under the terms of the swap, six$-$month LIBOR is exchanged for

$4\%$

per annum $($compounded semiannually$).$ Six$-$month LIBOR forward rates for all maturities are

$3\%$

$($with semiannual compounding$).$ The six$-$month LIBOR rate was

$2\mathrm{.}4\%$

two months ago. OIS rates for all maturities are

$2\mathrm{.}7\%$

with continuous compounding. What is the current value of the swap to the party paying floating? What is the value to the party paying fixed?