assumptions

notional
fixed rate
libor at last coupon

100
3%
2.90%

time (years)
LIBOR
DISCOUNT

0.25
2.80%
0.993

0.75
3.20%
0.976

1.25
3.40%
0.958

VALUE INTEREST RATE AS TWO BONDS

FLOATING CASH FLOWS
FUTURE VALUE (FV)
PV
FIXED CASH FLOWS
FV
PV

$101.45
$100.74
$1.50
$1.49

$100.74
$1.50
$1.46

$101.50
$97.28

$100.23
$0.51