What is the value of a 2-year fixed-for-floating compound swap where the principal is $100 million and payments are made semiannually. Fixed interest is received and floating is paid?
The fixed rate is 8% and it is compounded at 8.3% (both semiannually compounded). The floating rate is LIBOR plus 10 basis points and it is compounded at LIBOR plus 20 basis points. The LIBOR zero curve is flat at 8% with semiannual compounding.