Problem
A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 4% per annum (compounded semiannually). Six-month LIBOR forward rates for all maturities are 3% (with semiannual compounding). The six-month LIBOR rate was 2.4% per annum two months ago. Risk-free rates for all maturities are 2.7% with continuous compounding. What is the current value of the swap to the party paying floating? What is its value to the party paying fixed?