Question 3 A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap; Six-month LIBOR is exchanged for a fixed 7% per annum (compounded semi-annually). The interest rate for all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed