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Use the following information to determine the value of the swap to the floating rate payer using the bond methodology. Assume we are at the

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Use the following information to determine the value of the swap to the floating rate payer using the bond methodology. Assume we are at the floating rate reset date. $1 million notional value, semiannual, 18-month maturity. Spot LIBOR rates are: Months Spot Rates 2.60% 12 2.65% 118 2.75% 6 The fixed rate is 2.8%, with semiannual payments C-$ 66 $ 3,425 $ 476 C$ 5,077

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