What is the value of the swap to the bank

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Reference no: EM131795805

Question: A bank has an interest rate swap which involves receiving 4% per year with semi-annual compounding and paying LIBOR every 6 months on $100 million. The swap has 9 months remaining. The LIBOR rate 3 months ago was 3.9% per year with semi-annual compounding. The forward LIBOR rate for the 3-9 month period is 4.429%. The continuously compounded zero rates for maturities of 3 and 9 months are 3.8% and 4.2%, respectively. What is the value of the swap to the bank?

Reference no: EM131795805

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