In an interest rate swap, a swap dealer receives 8% per year and pays six-month LIBOR in return on a notional principal

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answerhappygod
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In an interest rate swap, a swap dealer receives 8% per year and pays six-month LIBOR in return on a notional principal

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In an interest rate swap, a swap dealer receives 8% per year and
pays six-month LIBOR in return on a notional principal of $100
million with payments being exchanged every six months. The swap
has a remaining life of 16 months. The average fixed rates
currently being swapped for six-month LIBOR is 10% per annum for
all maturities. The six-month LIBOR rate two months ago was 9.5%
per year. All rates are compounded semiannually. The last swap
occurred two months ago. Find the value of the swap.
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