What is the value of a European swap option that gives the holder the right to enter into a $3-$year annual$-$pay swap in $4$ years where a fixed rate of $5\%$ is paid and floating is received? The swap principal is $$10$ million. Assume that the volatility of the swap rate is $20\%,$ all swap rates are are $5\%,$ and all OIS rates are $4\mathrm{.}7\%.$ Compare your answer with that given by DerivaGem.