Question: Consider the swap in Example 22.2. Now, assume that the payments are made every six months. Zero- coupon bond prices (maturing every six months) are

Consider the swap in Example 22.2. Now, assume that the payments are made every six months. Zero- coupon bond prices (maturing every six months) are given in the following table:

Compute the value of this swap.

Zero-Coupon Bond Prices Time to Maturity (in Years) 0.5 1.0 1.5 2.0 2.5 3.0 Zero-Coupon Bond Prices B(0, T) B(0,0.5) 0.99 0.97 0.95 0.93 0.91 0.88 B(0,2.0) B(0,2.5) B(0,3.0)

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