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Suppose a swap has 1.25 years remaining. The Fixed-rate payer receives six-month LIBOR and pays 4% on a notional principal of $100 million. LIBOR rate

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Suppose a swap has 1.25 years remaining. The Fixed-rate payer receives six-month LIBOR and pays 4% on a notional principal of $100 million. LIBOR rate for 3-months, 9-months and 15 months are 2.7%, 3.5% and 4.2% (continuous compounding). The 6-month LIBOR on las t 6. payment date was 3.2%. What is the forward rate for the 3 to 9 month period? a. b. What is the forward rate for the 9 to 15 month period? Fill out the following table and calculate the current value of this swap. C. PV Fixed cash Floating cash flow Net Cash Flow Disc factor Time B1 flow 0.25 075 1.25 Total Suppose a swap has 1.25 years remaining. The Fixed-rate payer receives six-month LIBOR and pays 4% on a notional principal of $100 million. LIBOR rate for 3-months, 9-months and 15 months are 2.7%, 3.5% and 4.2% (continuous compounding). The 6-month LIBOR on las t 6. payment date was 3.2%. What is the forward rate for the 3 to 9 month period? a. b. What is the forward rate for the 9 to 15 month period? Fill out the following table and calculate the current value of this swap. C. PV Fixed cash Floating cash flow Net Cash Flow Disc factor Time B1 flow 0.25 075 1.25 Total

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