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Please show steps AquaCompany has zero credit risk and needs to determine the value of...

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Finance

Please show steps

AquaCompany has zero credit risk and needs to determine the value of a swap with two years remaining. AC pays 8% s.a. fixed. The Notational amount is USD 70 million.

The following table shows the relevant LIBOR Rates.

LIBOR rate

6 month

6.00%

12 month

6.25%

18 month

6.25%

24 month

6.60%

  1. What is the fixed payment?
  2. What is the value of the swap to AC using an actual/360 day count?
  3. Should they sell the swap? Why or why not? What would be the advantages and disadvantages. What would they have to consider?

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