A $10 million 1-year semi-annual-pay LIBOR-based interest-rate swap was initiated 90 days ago when LIBOR was 4.8 percent. The fixed rate on the swap is 5 percent, current 90-day LIBOR is 5 percent and 270-day LIBOR is 5.4 percent. What is the value of the swap to the fixed rate payer?

What I did:

I find that the present value of the fixed-rate payments is:

(0.05*(180/360)*1) / [1+0.05*(90/360)] + (0.05*(180/360)*1+1) / [1+0.54*(270/360)] = 0.025/1.0125 + 1.025/1.405 = 0.754228724

First floating rate payment = 0.048 * (180/360) = 0.024

The market value of the rest of the floating payments is 1, so the present value of all the floating rate payments is: (0.024+1) / [1+0.05*(90/360)] = 1.011358025

So if the notional is $10million then the value of the swap to the fixed-rate payer is:

(10000000*1.011358025) - (10000000 * 0.754228724) = $2571293.01

Is this correct?