Suppose that a bank has agreed to the following terms of an interest rate swap:

- The notional principal is CAD 300 million and the remaining life of the swap is 11 months.

- The bank pays 8% per annum, and receives three-month LIBOR. - Payments are exchanged every three months. -

The swap (fixed) rate is 11% per annum for all maturities.

- The three-month LIBOR rate a month ago was 12.5% per annum.

All rates are compounded quarterly.

Estimate the value of the swap using

a) a bond-price valuation method, and

b) a FRAs-based method?