Question: At expiry of a 7-year 2% Payer swaption on $100mln, with 6-mo LIBOR as the floating rate leg, the actual (prevailing) 7-yr swap rate is

At expiry of a 7-year 2% Payer swaption on $100mln, with

At expiry of a 7-year 2% Payer swaption on $100mln, with 6-mo LIBOR as the floating rate leg, the actual (prevailing) 7-yr swap rate is 2.80% and the yield curve is flat. What is the intrinsic value of the swaption? 0 O $6.57min $4.51min O $3.31min $5.02mln At expiry of a 7-year 2% Payer swaption on $100mln, with 6-mo LIBOR as the floating rate leg, the actual (prevailing) 7-yr swap rate is 2.80% and the yield curve is flat. What is the intrinsic value of the swaption? 0 O $6.57min $4.51min O $3.31min $5.02mln

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