Part A: (5 marks) Company A entered into a semi-annual interest rate swap agreement a few months ago as the fixed rate payer, paying a 4.4% p.a. fixed swap rate and receiving floating rate equivalent to the 6- mth LIBOR. Currently, this agreement (which is termed as "swar in this question) will mature in 1.5 years. The following LIBOR rates (with continuous compounding) are currently available to you: Maturity 2 4 6 8 10 12 LIBOR 4.0% p.a. 4.1% p.a. 4.2% pa 4.3% pa 4.3% pa 4.4% p.a. Maturity 14 16 18 20 22 24 LIBOR 4.5% p.a. 4.5% p.a. 4.6% pa 4.7% pa 4.8% pa 4.9% pa Required: what is the current value of swap A to company A? Show all of your workings. Part A: (5 marks) Company A entered into a semi-annual interest rate swap agreement a few months ago as the fixed rate payer, paying a 4.4% p.a. fixed swap rate and receiving floating rate equivalent to the 6- mth LIBOR. Currently, this agreement (which is termed as "swar in this question) will mature in 1.5 years. The following LIBOR rates (with continuous compounding) are currently available to you: Maturity 2 4 6 8 10 12 LIBOR 4.0% p.a. 4.1% p.a. 4.2% pa 4.3% pa 4.3% pa 4.4% p.a. Maturity 14 16 18 20 22 24 LIBOR 4.5% p.a. 4.5% p.a. 4.6% pa 4.7% pa 4.8% pa 4.9% pa Required: what is the current value of swap A to company A? Show all of your workings