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Your company has sold a 6Y plain-vanilla swap on 1Y LIBOR precisely one 20 year ago for a swap rate of 7.15%; as a consequence,
Your company has sold a 6Y plain-vanilla swap on 1Y LIBOR precisely one 20 year ago for a swap rate of 7.15%; as a consequence, you receive fixed and pay floating. What value should your accounting system attribute to the swap today (notional principal: $40m)?
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