Tom enterprise entered a swap with USD 5 million notional and received a floating rate based on 6-month Libor. It paid a fixed rate of 7% semiannually. The last cash flow of the swap exchanged 3 months ago. The swap has a remaining life of 15 months, with payment dates at 3, 9 and 15months. Today, continuously compounded spot Libor rates for 3-month, 9-month, 15-month are 5.8%, 6.5% and 6.8% respectively. The Libor at last payment was 6.1%. The value of the swap to Tom is closest to:
Tom enterprise entered a swap with USD 5 million notional and received a floating rate based on 6-month Libor. It paid a fixed rate of 7% semiannually. The last cash flow of the swap exchanged 3 months ago. The swap has a remaining life of 15 months, with payment dates at 3, 9 and 15months. Today, continuously compounded spot Libor rates for 3-month, 9-month, 15-month are 5.8%, 6.5% and 6.8% respectively. The Libor at last payment was 6.1%. The value of the swap to Tom is closest to: A.-$13,024; B.$13,024; C.-$14,127; D.$14,127