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Under the terms of an interest rate swap, a financial institution has agreed topay10%per annum and...

Under the terms of an interest rate swap, a financial institution has agreed topay10%per annum and receive three-month LIBOR in return on a notional principal of$100million with payments being exchanged every three months.The swap has a remaining life of 11 months. Suppose the two-, five-, eight-, and eleven-month LIBORs are 11.5%, 11.75%, 12%, and 12.25%, respectively. Thethree-month LIBOR rate one month ago was11:8%per annum. All rates are compounded quarterly. What is the value of the swap to the financial institution?

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