Question: You entered into a swap 2.25 years ago that has semiannual payments. You are paying the fixed payment and receiving the floating payment. Your fixed rate was locked in at 10% per annum with semiannual compounding. Last payment date (0.25 years ago) the 6-month LIBOR rate was 12% per annum with semiannual compounding. The contract has 1.25 years left until the swap reaches its termination date. The current LIBOR rates are as followed (quoted per annum with semiannual compounding):
Time Rate
0.25 15.00%
0.75 16.00%
1.25 17.50%
What is the rate that you are to receive from the floating rate payer at time 0.25?