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What is the value of the swap

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Question 1: There are 1.25 years remaining in an interest rate swap. The terms of the swap are to pay 6-month LIBOR and receive 8% per annum (with semi-annual compounding) on a notional principal of $100 million. The spot rates (zero coupon rates) with continuous compounding for 3-month, 9-month, and 15-month maturities are 10%, 10.5%, ad 11%, respectively. The 6-month LIBOR on the last payment date was 10.2% with semiannual compounding. What is the value of the swap?

a. 3.664 million
b. 2.838 million
c. 5.118 million
d. 6.334 million
e. 4.267 million

Reference no: EM132873475

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