average 2. A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% per annum (compounded semiannually). The of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed? (Use an expected annual LIBOR of 5.063%) 3. A currency swap has a remaining life of 15 months. It involves exchanging interest at 10% on 20 million for interest at 6% on $30 million once a year. The term structure of interest rates in both the United Kingdom and the United States is currently flat, and if the swap were negotiated today the interest rates exchanged would be 4% in dollars and 7% in sterling. All interest rates are quoted with annual compounding. The current exchange rate (dollars per pound sterling) is 1.8500. What is the value of the swap to the party paying sterling. What is the value of the swap to the party paying dollars?