An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 4% is paid and 12- month LIBOR is received. A exchange of payments has just taken place. The one-year, two-year and three-year LIBOR/swap zero rates are 3%, 4% and 5%. All rates an annually compounded What is the value of the swap if LIBOR discounting is used. O 2.58 O 5.47 2.06 01.06