Consider a plain vanilla interest-rate swap with an effective date of January 1 of year 1, notional amount of $100 million and quarterly payments. The reference rate is 3-month LIBOR. On January 1, the 3-month LIBOR is 2.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 of year 1 are quoted as 96.9 and 96.5. Find the present value of the floating payment in the third quarter.

Question 3 options:

$755,348

$765,839

$862,184

$874,159