Consider a 2-year interest rate swap in which we pay LIBOR quarterly and receive 8% fixed semiannually. The notional value is $10 million. Assume the yield curve is flat. The P/L of the receive-fixed side of this swap as compared to the market rates on each swap payment data can be replicated with which of the following portfolios of interest rate options (Hint: interest rate call options are in the money when the market rates are above the strike price and interest rate put options are in the money when the market rates are below the strike price)?

A Long puts at 8% and short calls at 8%

B Long puts at 8% and short puts at 8%

C Long Calls at 8% and short puts at 8%

D None of the answers