Suppose that zero rates are as in Problem 28.17. Use DerivaGem to determine the value of an

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Suppose that zero rates are as in Problem 28.17. Use DerivaGem to determine the value of an option to pay a fixed rate of 6% and receive LIBOR on a 5-year swap starting in 1 year. Assume that the principal is $100 million, payments are exchanged semiannually, and the swap rate volatility is 21%.

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