A plain vanilla 2-year interest rate swap with annual payments has a notional principal of...
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A plain vanilla 2-year interest rate swap with annual payments has a notional principal of $1 million. 4 month(s) into the swap, the term structure of interest rates is flat at 4.62%. The first floating-rate payment has already been set to 5.33%. The fixed payments are 5.08%. What is the value of this swap?
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