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What is current value of the swap to party paying floating

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Question - A $250 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, a six-month LIBOR is exchanged for 4.0% per annum (compounded semiannually). Six-month LIBOR forward rates for all maturities are 3.0% (with semiannual compounding). The six-month LIBOR rate was 2.4% per annum two months ago. OIS rates for all maturities are 2.7% with continuous compounding. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?

Reference no: EM132962460

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