please answer in EXCEL formulas

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:

Maturitv

0.25

0.5

0.75

1.25

SAIBOR Rates

3.25%

3.4%

3.55%

3.7%

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 3.47% for 3 months, 3.59% for 6 months, and 3.86% for 9 months. All SAIBOR rates are compounded quarterly. What is the value of the swap?

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