Suppose that the yield curve is flat at 0.064 per annum with continuous compounding. A swap with a notional principal of $100 million in which 0.068 is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 0.064. Answer in millions of dollars to two decimal places.

Express your answers with two decimal places

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

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

What is the value of the swap to the party paying floating ?Answer