Please value the interest rate swap which has the following information:$$

Swap involves paying $3\%$ per annum and receiving SOFR every six months on $$100$ million.$$Swap has $1\mathrm{.}2$ years remaining $($exchanges in $0\mathrm{.}2,0\mathrm{.}7,$ and $1\mathrm{.}2$ years$).$Risk$-$free rate for $0\mathrm{.}2,0\mathrm{.}7,$ and $1\mathrm{.}2$ years are $2\mathrm{.}8\%,3\mathrm{.}2\%$ and $3\mathrm{.}4\%,$ respectively $($continuously compounded$).$Rate observed for last $0\mathrm{.}3$ years is $2\mathrm{.}3\%$ continuously compounded. 

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To value the interest rate swap we will calculate the present value of the fixed leg paying 3 per an... View the full answer