Question: Solving for the swap value based on PV factors, suppose two years ago we entered a 100,000,000 seven-year receive -fixed Libor-based interest rate swap with

  1. Solving for the swap value based on PV factors, suppose two years ago we entered a €100,000,000 seven-year receive -fixed Libor-based interest rate swap with annual resets using 30/360-day count. The fixed rate in the swap contract at initiation was 3%. Using the PV factors in the below given table, what is the value for the party receiving the fixed rate?
    1. Maturity (years) PV Factors
    2. 1 0.9906
    3. 2 0.9789
    4. 3 0.9674
    5. 4 0.9556
    6. 5 0.9236

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