Let's imagine that the OIS rates for one year and two years are 2% and 4% respectively. Now, let's examine an OIS swap set to mature in two years, where you receive a fixed rate of 3% and pay the floating reference rate. The principal amount involved is 1 million. If payments are made annually with annual compounding, what is the value of the swap?   (a)−558.4 (b) −188.5 (c) 0 (d)188.5 (e) 558.4

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Q: Vijay

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