Question: The term structure is flat at 5% per annum with annual compounding. Some time ago a financial institution entered into a 5-yearswap with a principal

The term structure is flat at 5% per annum with annual

The term structure is flat at 5% per annum with annual compounding. Some time ago a financial institution entered into a 5-yearswap with a principal of $100 million in which every year it pays 12-month LIBOR and receives 6%. The swap now has 2.5 years to run. Six months ago 12-month LIBOR was 4% (with annual compounding). What are the net cash flows of the swap in 0.5 years, 1.5 years, and 2.5 years? What is the value of the swap today

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