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You are the pay fixed leg of a $1m swap with quarterly payment for one year. The annualized 90-, 180-, 270- and 360-day LIBOR rates

You are the pay fixed leg of a $1m swap with quarterly payment for one year. The annualized 90-, 180-, 270- and 360-day LIBOR rates are 1%, 1.5%, 1.75% and 2% respectively. What is your first quarterly payment in $ on day 90?

A. $4,312.64
B. $4,954.60
C. $4,787.95
D. $3,906.25

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