Consider a 3-year interest rate swap that exchanges 1-year floating rates for a fix rate k in years t = 1, 2, 3 from now. The national amount is 1 million. The term structure of interest rates is r₀₁=1%, r₀₂=2%, r₀₃=3.5%. What is the fixed swap rate k at date t=0? The following year (at t = 1), the (new) term structure for the subsequent two years is ₀₁ = 3%, ₀₂ = 4.5%. What is the value at t=1 of the original 3-year swap (that now has two remaining payment dates) for the counterparty receiving the floating and paying the fixed rate? The value is defined as the amount of money that the latter counterparty is willing to pay or receive at date t=1 to enter the swap with a fixed rate k (determined at date 0).