An interest rate swap with a notional of $100mln involves payment of 5% per annum fixed (paid semiannually) in exchange for 6-mo LIBORflat. The remaining life is 10 months. Interest is exchanged every six months. Two months ago, LIBOR fixed at 4.5%. The implied forward LIBOR rate for the period 4-10 months from now is 4.85%. Risk-free rates are 4.30% for 4 months and 4.65% for 10 months with continuous compounding. What is the value of this swap to the Receiver of the fixed rate? $256,611 $143,830 $199,777 $318,592

A swap is a derivative contract in which two parties are agreed to exchange their cash flows from two different financial instruments for a defined period. In swap contracts, cash flows from one financial instrument are fixed and cash flow from other fin…