Q14.One year ago, a risk manager entered a $50 million 5-year interest rate swap as the fixed rate payer. The fixed rate was 2.875%.4-year interest rates are now 3.675% and the swap has an estimated modified duration of 3.65. The fair value of the swap from the risk manager's perspective is closest to:

a.Loss of $1,825,000

b.Gain of $1,460,000

c.Loss of $1,437,500

d.Gain of $1,875,000