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A company wants a swap where it receives semiannual payments at 6.5% per annum with semiannual compounding on a principal of $5 million. The five-year

A company wants a swap where it receives semiannual payments at 6.5% per annum with semiannual compounding on a principal of $5 million. The five-year swap rate with semiannual cash flows is 6% per annum with semiannual compounding. The OIS zero curve is flat at 5% per annum with continuous compounding. How much should a derivatives dealer charge the company?

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