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Suppose you have just entered into a (fixed rate) payer vanilla interest rate swap at the fair swap rate. What is the mark-to-market value of

Suppose you have just entered into a (fixed rate) payer vanilla interest rate swap at the fair swap rate. What is the mark-to-market value of your position at the moment of execution of the contract?

A) Positive

B) Negative

C) It depends on the shape of the yield curve

D) Zero

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