Question: Consider a three-year swap receiving fixed paying floating with principal of $10 million dollars, receiving a fixed rate of 2 percent per year, and paying

Consider a three-year swap receiving fixed paying floating with principal of $10 million dollars, receiving a fixed rate of 2 percent per year, and paying the one-year floating spot rate yearly. What is the value of the swap when it is issued?

B(0,3) .90

B(0,2) .92

B(0,1) .94

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