21.22. Use the DerivaGem software to value a European swaption that gives you the right in 2 years to enter into a 5-year swap in which you pay a fixed rate of 6% and receive floating.

Cash flows are exchanged semiannually on the swap. The continuously compounded 1-year, 2-year, 5-year, and 10-year risk-free (OIS) zero rates are 5%, 6%, 6.5%, and 7%, respectively. Assume a principal of $100. The forward swap rate is 7% (compounded semiannually) and its volatility is 15% per annum. Give an example of how the swaption might be used by a corporation. What bond option is equivalent to the swaption?