What is the value of swap

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Reference no: EM132010601

You work for a financial institution that has agreed to pay 6.4% per annum and to receive 3-month LIBOR in return on a notional principal of $100 million with payments being exchanged every 3 months. The fixed rates currently being swapped for LIBOR is 5.6% per annum for all maturities. The swap has a remaining life of 16 months. Three-month LIBOR two months ago was 5.3%. OIS rates for all maturities are currently 5.7% with continuous compounding. All other rates are compounded quarterly. What is the value of the swap?

Reference no: EM132010601

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