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A $100 million interest rate swap has a remaining life of 10 months. Under the terms...

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 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago.

What is the face value of the first floating payment?

A. 2.26

B. 2.3

C. 2.11

D. 3.5

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