A plain vanilla interest rate swap is written on a notional principal of €100m. The swap pays 3.6% per annum in return for the 3-month LIBOR. Payments are made every 6 months and the swap has 10 months remaining to maturity. The 3-month LIBOR 2 months ago was 3.2% per annum. The swap rate for all maturities is currently 3.8% with continuous compounding. What is the value, in Euros, of the swap to the party paying floating? a. -119,195.16 b. 1,941,376 c. 82,477.03 d. 83,001.04 e. -82,477.00

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