Question: The six month LIBOR is 15% per annum with continuous compounding for all maturities. Under the term of an interest rate swap, SABIC Financial has

The six month LIBOR is 15% per annum with continuous compounding for all maturities. Under the term of an interest rate swap, SABIC Financial has agreed to pay 8% per annum and to receive six-month LIBOR in return on a notional swap has a remaining life of fifteen months. The six-month LIBOR at the last payment date was 6% per annum.

a. What was the last (most recent) payment made?

b. What are the remaining payment dates?

c. What is the value of the fixed-rate bond?

d. What is the value of the floating-rate bond?

e. What is the value of the swap to SABIC Financial?

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