Question: You enter into a pay-floating, receive-fixed plain vanilla swap. The terms of the swap are 3.99% for LIBOR, with quarterly payments and a notional principal

You enter into a pay-floating, receive-fixed plain vanilla swap. The terms of the swap are 3.99% for LIBOR, with quarterly payments and a notional principal of $5 million. The first-quarter LIBOR payment is 3.71%. What is the net gain or loss to you in dollars at the end of that first quarter? The answer should be 3500. How do you get that?

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