You are given the following data A 3 year swap with principal $100,000,000 in which we receive 5 5 (semi annually) and pay LIBOR quarterly is worth $3 5 million A 1 year swap with principal $100,000,000 in which we receive 5 5 (semi annually) and pay LIBOR quarterly is worth $1 5 million A receiver...

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You are given the following data: A 3-year swap with principal $100,000,000 in which we receive 5.5%

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Question:

You are given the following data:

1. A 3-year swap with principal $100,000,000 in which we receive 5.5% (semi-annually) and pay LIBOR quarterly is worth $3.5 million.
2. A 1-year swap with principal $100,000,000 in which we receive 5.5% (semi-annually) and pay LIBOR quarterly is worth $1.5 million.
3. A receiver swaption -- an option to enter into a swap with principal $100,000,000 that begins in one year and ends in 3 years, in which we receive 5.5% (semi-annually) and pay LIBOR quarterly is worth $2.6 million.

What is the value of the payer swaption in which we have an option to enter into a swap with principal $100,000,000 that begins in one year and ends in 3 years, in which we pay 5.5% (semi-annually) and receive LIBOR quarterly?