Question: Please help 10. A plain vanilla interest rate swap is written on a notional principal of 100m. The swap pays 3.6% per annum in return

Please help

10. A plain vanilla interest rate swap is written on a notional principal of 100m. The swap pays 3.6% per annum in return for the 3-month LIBOR. Payments are made every 6 months and the swap has 10 months remaining to maturity. The 3-month LIBOR 2 months ago was 3.2% per annum. The swap rate for all maturities is currently 3.8% with continuous compounding. What is the value, in Euros, of the swap to the party paying floating?

a. -119,195.16

b. 1,941,376

c. 82,477.03

d. 83,001.04

e. -82,477.00

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