9. Zero rates in both the US and Britain are flat at 4% per annum with annual compounding. In a 3-year differential swap (meaning: an IR swap where a floating interest rate is observed in one currency and applied to a principal in another currency) agreement with annual payments, USD 12-month LIBOR is received and sterling 12- month LIBOR is paid with both being applied to a principal of 10 million pounds sterling. The volatility of all 1-year forward rates in the US is estimated to be 20%, the volatility of the USD/sterling exchange rate (dollars per pound) is 12% for all maturities, and the correlation between the two is 0.2. What is the value of the swap. 9. Zero rates in both the US and Britain are flat at 4% per annum with annual compounding. In a 3-year differential swap (meaning: an IR swap where a floating interest rate is observed in one currency and applied to a principal in another currency) agreement with annual payments, USD 12-month LIBOR is received and sterling 12- month LIBOR is paid with both being applied to a principal of 10 million pounds sterling. The volatility of all 1-year forward rates in the US is estimated to be 20%, the volatility of the USD/sterling exchange rate (dollars per pound) is 12% for all maturities, and the correlation between the two is 0.2. What is the value of the swap