Question: Consider a swap in which you pay 5% fixed interest rate in exchange for flexible LIBOR rate on a nominal amount of $1,000,000. There are

Consider a swap in which you pay 5% fixed interest rate in exchange for flexible LIBOR rate on a nominal amount of $1,000,000.

There are 15 months left in the swap agreement, and the next payment that you will receive is equal to $28,000. 3, 6, 9, 12, and 15 month zero rates are 5.7%, 5.8%, 5.9%, 6.0%, and 6.1% respectively.

Based on this information, find the value of the swap. Solve using Excel.

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