The LIBOR/swap zero rates (per annum) with semiannual compounding are as

follows:

Time Zero rates

6 months 4.00%

12 months 4.25%

18 months 4.50%

24 months 5.00%

30 months 5.25%

Use LIBOR discounting.

Suppose that some time ago you entered into a swap where you agreed to make annual payments at a rate of 5% and receive 12-month LIBOR on a notional principal of $100 million. The swap now has a remaining life of 2.5 years. The one-year LIBOR rate six months ago was 4.5% per annum.

Find the value of the swap.