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A semi-annual pay interest rate swap where the fixed rate is 4.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR
A semi-annual pay interest rate swap where the fixed rate is 4.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR rate observed three months ago was 3.85% with semi-annual compounding. Today's three and nine month LIBOR rates are 4.3% and 4.8% (continuously compounded) respectively. If the swap has a principal value of $10,000,000, what is the value of the swap to the party receiving a fixed rate of interest? Assume OIS rates are the same as LIBOR rates
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