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  3. 3. it is january 1", 2020. a bank has 30 more mont

3. It is January 1", 2020. A bank has 30 more months remaining in an...

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3. It is January 1", 2020. A bank has 30 more months remaining in an interest rate swap with semiannual payments according to which it agreed to pay APR 6% compounded semiannually on a notional principal of $10,000,000 in return for the six-month LIBOR rate. If the first swap payments are exactly six months away from today, compute the value of this fixed-to-floating interest rate swap from the perspective of the bank based on the LIBOR zero rate term structure given below in continuously compounded form. 6 month 30 month 5.00% 6.75% 7.00% 24 month 12 month 6.00% 18 month 6.50% LIBOR

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