Question: There are 3 months remaining until maturity for an interest rate swap with a principal of $ 1 , 0 0 0 , 0 0

There are 3 months remaining until maturity for an interest rate swap with a principal of $1,000,000. The
swap exchanges the LIBOR rate every 6 months with a semi-annual compounding at a rate of 5%. The 6-month
LIBOR rate was 3.9%3 months ago with a semi-annual compounding. For all maturities, the OIS rate is 1.8%
with continuous compounding. What is the value of the swap for the position with the floating rate payments?

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