Consider the following market data:

Maturity in years       LIBOR CC Rates

0.5                              4%

1                                 4.50%

1.5                               4.80%

a. Compute the 1 ½ - year LIBOR swap rate.

b. Compute the bootstrapped 2-year continuously compounded LIBOR rate.

Now suppose that a 1 ½ - year swap is already in place and was incepted 3 months earlier. The party with the swap pays a 3% interest per annum and receives LIBOR every six months, i.e. the swap reset period is 6 months. The notional principal is $100 million. Three months ago, the LIBOR was 2.9%. Forward LIBOR for 3-9 month period and 9-15 month period is 3.429% and 3.734%, respectively.

Assuming that the Overnight Index Swap rates for maturities of 3, 9, and 15 months are 2.8%, 3.2%, and 3.4%, compute the value of the swap.