Question: We consider a 6-month Libor swap contract with a maturity of 3 years. The nominal amount of this swap is $1,000, and the rate F

We consider a 6-month Libor swap contract with a maturity of 3 years. The nominal amount of this swap is $1,000, and the rate F of the fixed leg is 10% on an annual compounding basis. The available zero coupon spot rates are: R(0,0.5-year)= 2.00%, R(0,1-year)=3.00%, R(0,2-year)=4.00%, and R(0,3-year)=5.00%. Based on the available spot rates, what should be the value of this swap?

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