Suppose that zero rates and LIBOR forward rates are as in Problem 29.17. Use DerivaGem to determine

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Suppose that zero rates and LIBOR forward rates are as in Problem 29.17. Use DerivaGem to determine the value of an option to pay a fixed rate of 6% and receive LIBOR on a five-year swap starting in one year. Assume that the principal is $100 million, payments are exchanged semiannually, and the swap rate volatility is 21%.
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