Reference no: EM131947736

Consider a 1-Year LIBOR swap with quarterly payments priced at 4% at initiation when 90-day LIBOR was 3.8%.

The notional principal amount is $ 7,000,000. Calculate the value of the swap to the fixed-rate payer after 150 days if the annualized LIBOR rates are the following:

oR 30-day : 3.5%

oR 60-day : 3.55%

oR 90-day : 3.60%

oR 120-day : 3.65%

oR 150-day : 3.70%

oR 180-day : 3.75%

oR 210-day :3.80%

oR 240-day : 3.85%

oR 270-day : 3.90%

oR 330-day : 3.95%

oR 360-day : 4.00%

Your help will be highly appreciated.