Question: Parties A and B enter a 2-Year Fixed-for-Floating interest rate swap on a Notional Principal of $100 million. The underlying floating rate is the 6-Month

Parties A and B enter a 2-Year Fixed-for-Floating interest rate swap on a Notional Principal of $100 million. The underlying floating rate is the 6-Month LIBOR.

If after 160 days have passed the term structure is

10-Day: 3.98%,20-Day: 5.02% 30-Day: 5.11%,60-Day: 5.66%, 90-Day: 5.76%, 180-Day: 5.94%, 190-Day: 6.11%, 200-Day: 6.23%270-Day: 6.77%, 360-Day: 7.16%, 380-Day: 7.82%, 450-Day: 7.94%, 520-Day: 8.07%, 560-Day: 8.19%,630-Day: 8.33% 720-Day: 8.78%

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