(Pricing an Interest Rate Swap)Suppose that the yield curve is flat at 5% per annum withcontinuous compounding. A five-year swap with a notional principal of $100 million in which 6% per annum with semi-annual compounding is received and six-month LIBOR is paid will lastanother15months. Payments are exchanged every six months. The six-month LIBOR rateat the last reset date (three months ago) was 7% per annum with semi-annual compounding.Answer in millions of dollars to two decimal places.

What is the value of the fixed-rate bond underlying the swap?

What is the value of the floating-rate bond underlying the swap?

What is the value of the swap for the floating rate payers?

The first coupon paid to the floating rate receiver was $4.5 million. What was thecontinuously compounded floating interest rate with a 6-month maturity when the swapwas initiated?