Suppose the speculative hedge fund in Question 7 was anticipating lower rates in several years and purchased a two-year receiver swaption on a three-year 6%/LIBOR generic swap with semiannual payments and notional principal of $20 million for a price equal to 60 bp times the NP. Explain what the fund would do at the swaption’s expiration if the fixed rate on three-year par value swaps were at 7% and at 5%. What would be the fund’s profits or losses at those rates? Use the YTM-approach in valuing the swap’s position.