Question: Hey, I need help on this question please. I don't quite understand how to do it?? A 100 million interest rate swap has a remaining

Hey, I need help on this question please. I don't quite understand how to do it??

A 100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6month LIBOR is exchanged for 12% per annum (compounded seIni annually). Payment dates are every 6 months and the next payment date is in 4 months. The 6month LIBOR rate 2 months ago was 9.6% per annum (compounded semiannually). Today, the yield curve is at at 10% per annum with continuous com pounding. What is the value today of the swap from the point of view of the short party (who pays oating and receives xed)? Answer this question using both methods: i. [7 marks] By calculating the values of the oating and xed rate bonds embedded in the swap. ii. [8 marks] By valuing the swap as a bundle of FRAs

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