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with payments being exchanged every three months . The swap has a remaining life of 1 1 months . Three - month forward LIBOR for

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with payments being exchanged every three months . The swap has a remaining life of 1 1 months . Three - month forward LIBOR for all maturities is currently 4% per annum . The three - month LIBOR rate one month ago was 3. 2% per annum . OIs rates for all maturities are currently 4. 00% with continuous compounding . All other rates are compounded quarterly . What is the value of the swap

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