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OIS rates are 3.4% for all maturities. What is the value of an OIS swap with two years to maturity where 3% is received and

OIS rates are 3.4% for all maturities. What is the value of an OIS swap with two years

to maturity where 3% is received and the floating reference rate is paid. Assume annual

compounding, annual payments, and $100 million principal.

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