Suppose the $1-$year and $2-$year OIS rates are $2\%$ and $4\%,$ respectively. Consider an OIS

swap with two years to maturity where you receive $3\%$ and pay the floating reference rate

with principal $1$ million. If the payments are made annually with annual compounding

the value of the swap is

$($a$)558\mathrm{.}4$

$($b$)188\mathrm{.}5$

$($c$)0$

$($d$)188\mathrm{.}5$

$($e$)558\mathrm{.}4$