Consider a 1-Year LIBOR swap with quarterly payments priced at 4% at initiation when 90-day LIBOR was 3.8%.
The notional principal amount is $ 7,000,000. Calculate the value of the swap to the fixed-rate payer after 150 days if the annualized LIBOR rates are the following:
oR 30-day : 3.5%
oR 60-day : 3.55%
oR 90-day : 3.60%
oR 120-day : 3.65%
oR 150-day : 3.70%
oR 180-day : 3.75%
oR 210-day :3.80%
oR 240-day : 3.85%
oR 270-day : 3.90%
oR 330-day : 3.95%
oR 360-day : 4.00%
Your help will be highly appreciated.