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A swap lasts for three years and has a notional value of $100. The seller...

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Finance

A swap lasts for three years and has a notional value of $100. The seller pays LIBOR +1% and receives 3.1% from the buyer. LIBOR is currently 2% and is expected to change to 2.2% in six months. It is expected to stay at 2.2% for a full year, but in a year and a half the rate is expected to go back down to 2.0% and stay there. What is the present value of the seller's leg in this swap?

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