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Obtain the value of the swap for the financial institution

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Sometime ago a financial institution entered a swap where it agreed to receive 3.9% per annum with semi-annual compounding and pay LIBOR every six months on $100 million. The swap has exactly 9 months left, and the next exchange is in 3 months. The three-month LIBOR rate is 4% per annum with semi-annual compounding. The six-month LIBOR that was determined 3 months ago is 4.2% per annum with semi-annual compounding. The forward LIBOR rate for the 3-to-9- month period is 4.6% per annum with semi-annual compounding. The OIS zero rate for 3 months is 3.1% per annum with continuous compounding. The OIS forward rate for the 3-to-9- month period is 3.7% per annum with continuous compounding. Obtain the value of the swap for the financial institution

Reference no: EM132999298

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