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Calculate the value of the swap for lachlin

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Insurance company, IHI, is part of a swap agreement with investment bank Lachlin Bank on a notional principal of $100 million. IHI has agreed to pay Lachlin Bank the six month BBSW rate and receives 9% pa, convertible half-yearly. If the swap has a residual life of 18 months, and the next interest payment is due in six months, calculate the value of the swap for Lachlin, given BBSW rates (compounding continuously) for the corresponding 6, 12 and 18 month maturities are 9.11% pa, 9.17% pa, 9.34% pa and the half year BBSW rate on the next payment is known to be 10.9% pa compounding half-yearly. Give your answer in millions of dollars to 2 decimal places.

Reference no: EM133074017

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