Find what is the absolute value of the swap

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Problem 1: Consider a plain vanilla fixed for floating interest rate swap with a notional principal of 2,100,000 and annual payments. Initially the swap was supposed to last for five years and now three years remain. If the initial fixed rate is 0.01, LIBOR is 0.03, and the year three payment was just made (two years of payments remain on the swap), What is the absolute value of the swap?

Reference no: EM132809738

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