Show that V, + / = V2, where Vj is the value of a swap option to
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Show that V, + / = V2, where Vj is the value of a swap option to pay a fixed rate of sK and receive LIBOR between times Tj and 7i, / i s 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 T2. Deduce that Vx = V2 when sK equals the current forward swap rate.
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