Under the terms of interest rate swap

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Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 11 months. Suppose the two-, five-, eight-, and eleven-month LIBORs are 11.5%, 11.75%, 12%, and 12.25%, respectively. The three-month LIBOR rate one month ago was 11:8% per annum. All rates are compounded quarterly. What is the value of the swap?

Reference no: EM132297999

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