What the value of this swap to the party paying

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Question - A plain vanilla interest rate swap on a notional principal of $100 million has a remaining life of 10 months. Under the terms of the swap, a six-month LIBOR is exchanged for a fixed rate of 7.3% per annum every 6 months. The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 4.2% per annum with continuous compounding. The six-month LIBOR rate was 5.3% per annum (compounded semi-annually) two months ago. What the value of this swap to the party paying the fixed rate?

a. $ -4.49 million

b. $ -2.46 million

c. $ -7.69 million

d. None of the other answers provided is correct

e. $ -4.59 million

Reference no: EM133021672

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