Under the terms of an interest rate swap, a financial institution has agreed to receive 12% (compounded quarterly ) per annum and to pay three-month LIBOR in return on a national principle of $100 million with payment being exchanged every three months.
The swap has remaining life of 7 months. The LIBOR rate is 11% per annum far all maturities compounded continuously.
The three month LIBOR rate two ago was 10% per annum (compounded quarterly). What is the value of the swap.