8) Suppose that a financial institution has agreed to pay 6-month LIBOR and received 9% per annum(with semiannual compounding) on a notional principal of 100 million USD. The swap has a remaining life 1.5 years. The LIBOR rates with continuous compounding for 6-month ,12-month,and 18-month maturity are 11%,11.5% and 12% respectively. The 6-month LIBOR rate at the last payment date is 11.2%(with semiannual compounding). Please value swap in terms of FRAs.
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假设一家金融机构已同意支付6个月伦敦同业拆借利率，并收到九厘，每半年（半年复利）名义本金1.0亿美元。调剂中心有剩余寿命1.5年。在伦敦银行同业拆息利率连续复利为6个月,12个月， 18个月的到期日是11 ％ ， 11.5 ％和12 ％ 。 6个月伦敦银行同业拆息率在最后付款日期为11.2 ％ （与半年复利） 。请交换价值而言fras 。