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Suppose that a swap has been in existence for some time already and that we now are looking to value it. Suppose that it pays

Suppose that a swap has been in existence for some time already and that we now are looking to value it. Suppose that it pays floating 6 month LIBOR versus 6% fixed, semi-annually. It is on a $100 million notional and has 1.75 years remaining. Suppose we know that LIBOR continuously compounded is 3%, 3.5%, 3.7%, and 4.3% for the 3 month, 9 month, 15 month, and 21 month periods. We are also aware that the last6-month LIBOR price was 3.2%. What is the value of this swap?

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