A $30,000,000 interest rate swap has a 12-month maturity, and was entered 2 months ago. This means the swap has a remaining life of 10 months. The swap pays interest quarterly, and it stipulates that the fixed rate is 4.5%, while the floating rate is the 3-month LIBOR +1%. Two months ago, when the swap was entered, 3-month LIBOR was 2.9%. The 3-month LIBOR forward rates and continuous time zero-coupon prices are given in a table below. Use the zero coupon prices to discount cash-flows.

3-month LIBOR Forward Rates
Term rate
1x4 2.90%
2x5 2.85%
3x6 2.84%
4x7 2.88%
5x8 2.90%
6x9 2.91%
7x10 2.92%
8x11 2.92%
9x12 2.92%

Zero-Coupon prices
T (month) Price
1 0.9976
2 0.9953
3 0.9929
4 0.9904
5 0.988
6 0.9856
7 0.9831
8 0.9807
9 0.9783
10 0.9761
11 0.9737
12 0.9712
(Important hint: since the swap was entered 2 months ago, and makes quarterly payments, in the remaining 10 months, payments should be expected in 1 month, 4 months, 7 months and 10 months. Discount cash flows accordingly.)
3. What is value of the variable leg today? (Hint: calculate the variable value in 1 month as the variable interest payment plus the nominal value; then discount it to today.)