A 100m interest rate swap has a remaining life of 10 months, Ask an Expert

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A $100M interest rate swap has a remaining life of 10 months. Under the terms of the swap, six month LIBOR is exchanged for 4% per annum (compounded semiannually). Six month LIBOR forward rates for ALL maturities are 3% (with seminannual compounding). The six-month LIBOR rate was 2.4% 6 months ago. OIS rates for all maturities are 2.7% with continuous compounding. What is the current value of the swap to the party paying the floating rate? Paying the fixed rate?

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Financial Management, Finance

Category:- Financial Management
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