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Business, 01.04.2021 16:10 giulianna41

In an interest rate swap, a financial institution receives 2.5% (semiannual compounding) per year and pays 6-month LIBOR on a principal of $100 million. The swap will last for another 15 months and payments are made every six months. The next exchange will happen in 3 months. 3-, 9-, and 15-month interest rates are 2.25%, 2.5%, and 2.75% respectively (continuous compounding). 6-month LIBOR on last payment day was 2.4% (semiannual compounding). What is the value of the swap to the financial institution

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