Annual rates paid semi-annually

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All interest rates are annual interest rates with semi-annual compounding.

All coupon rates are annual rates paid semi-annually.

Find the value of a swap agreement in which you receive floating LIBOR interest payment on $100M in exchange for 6% fixed rate payments. All interest rates are annual rates with semiannual compounding. All payments are semi-annual with the last payment in 17 months (i.e., payments are at t=5/12, 11/12, and 17/12). The next floating-rate payment that you will receive in 5 months is equal to $2.9M. The LIBOR rates for 5, 11, and 17 months are 6.1%, 6.2%, and 6.3% respectively. Keep at least 7 decimal digits for all your calculations and answers.

Reference no: EM133055885

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