Question: From the pay fixed side, value the swap based on the following information: Notional Value = $100,000,000; Time to Maturity = 0.75 years (i.e. 9

From the pay fixed side, value the swap based on the following information:

Notional Value = $100,000,000;

Time to Maturity = 0.75 years (i.e. 9 months);

Fixed Rate = 3.00% p.a. and is paid semi-annually;

Floating Rate is the six-month BBSW which was 3.5% p.a. continuous compounding 3 months ago;

The 3-month and 9-month BBSW rates are 3.6% and 3.8%, respectively. These rates are nominal annual with continuous compounding.

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