Question: The spot rate term structure is flat at 5 . 5 % per annum with continuous compounding. Some time ago a financial institution entered into

The spot rate term structure is flat at 5.5% per annum with continuous compounding.
Some time ago a financial institution entered into a 5-year swap with a principal of $100 million in which every year it pays 12-month LIBOR and receives 3.2%(both annual compounding). The swap now has two and a half years to run. 6 months ago 12-month LIBOR was 5.1%(with annual compounding).
a) What is the value of the swap to the financial institution today? (8 marks)

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