Question: Swap involves paying 3% per annum and receiving LIBOR every six months on $100 million Swap has 15 months remaining (exchanges in 3, 9, and

  • Swap involves paying 3% per annum and receiving LIBOR every six months on $100 million

  • Swap has 15 months remaining (exchanges in 3, 9, and 15 months)

  • LIBOR rate applicable to exchange in 3 months was determined 3 months ago and is 2.9% (with semi-annual compounding)

  • Forward LIBOR rates for 3-9 month period and 9-15 month periods are 3.4% and 3.7% (with continuous compounding)

  • OIS zero rates for maturities of 3, 9, and 15 months are 2.8%, 3.2%, and 3.4%, respectively

  • Value of swap?

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