Question: i need the answer for this There is an interest rate swap to pay six-month LIBOR and to receive 4% (semi-annual compounding) on a principal

i need the answer for this

i need the answer for this There is an interest
There is an interest rate swap to pay six-month LIBOR and to receive 4% (semi-annual compounding) on a principal of $100 million. The remaining life of this swap contract is 1.25 years(3 more payments in 3, 9, and 15 months). LIBOR zero rates (continuously compounding) for 3-, 9- and 15-months are 2.5%, 3.0%, and 3.5%. 6-month LIBOR on last payment date was 2.9% (semi-annual compounding). What is the PV of the fixed-rate cash flows (in millions)? Select one: O a. 101.58 O b. 97.63 O c. 100.82 O d. 99.38 Clear my choice

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