Suppose that a bank has e

Suppose that a bank has e

Suppose that a bank has entered into an interest rate swap, where the bank pays six-month LIBOR and receives 6% per annum (with semiannual compounding) on a notional principal of $100. The swap has a remaining life of 1.25 years. The LIBOR rates with continuous compounding for 3-month, 9-month and 15-month maturities are 10%, 10.3%, and 10.8%, respectively. The 6-month LIBOR rate at the last payment date was 10.2% (with semiannual compounding). What is the current value of the swap?

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