What is the value of the swap as a percentage

Reference no: EM133633459

Question: An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 1.8% is paid and 12-month LIBOR is received. A exchange of payments has just taken place. The one-year, two-year and three-year LIBOR/swap zero rates are 3.3%, 4% and 6%. Al rates an annually compounded. What is the value of the swap as a percentage of the principal when LIBOR discounting is used?

Reference no: EM133633459

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