What is the value of a European swap option that gives the holder the right to enter into a 3-year annual-pay swap in four years where a fixed rate of 5% is paid and LIBOR is received? The swap principal is $10 million. Assume that the LIBOR/swap yield curve is used for discounting and is flat at 5% per annum with annual compounding and the volatility of the swap rate is 20%. How does the value change if all swap rates are 5% and all OIS rates are 4.7%. Compare your answer with that given by DerivaGem.