Business, 19.08.2021 21:40 yair7

A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) has a remaining life of nine months. The six-month LIBOR rate observed three months ago was 4.85% with semi-annual compounding. Today's three and nine month LIBOR rates are 5.3% and 5.8% (continuously compounded) respectively. The swap has a principal value of $20,000,000. Required:
What is the value of the swap to the party receiving a fixed rate of interest?

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A semi-annual pay interest rate swap where the fixed rate is 5.00% (with semi-annual compounding) ha...