Show that V + f = V2, where V is the value of a swap option to pay a fixed rate of sk and receive LIBOR between times T and T, f is the value of a forward swap to receive a fixed rate of sk and pay LIBOR between times T and T2, and V2 is the value of a swap option to receive a fixed rate of sk between times T and 72. Deduce that V = V2 when SK equals the current forward swap rate.

AppendixLO1