What is the current value of the swap to the party paying


A $100 million 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 semiannual compounding). The six-month LIBOR rate was 2.4% annum two 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 floating? What is the value to the party paying fixed?

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Financial Management: What is the current value of the swap to the party paying
Reference No:- TGS02801910

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