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)= 4%, R(0,1-year)=6.00%, R(0,2-year)=7.00%, and R(0,3-year)=8.00%. Based on the available spot rates, what should be the value of this swap? (Keep four decimals for intermediate calculation results)

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