Part 3) STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-month SAIBOR in return on a notional principal of SAR 100 million with payments being exchanged every three months. The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different maturities: Maturity SAIBOR Rates 0.25 3.25% 0.5 3.4% 0.75 3.55% 1 3.7% 1.25 3.8% The three-month SAIBOR rate three months ago, when the last swap payment was made, was 2.8% per annum. OIS rates are the zero rates you obtained in question 1. All SAIBOR rates are compounded quarterly. What is the value of the swap?

And can you send it a excel file ?