Assignment:
A bank had entered into a 3-year interest rate swap for a notional amount of USD 300 million, paying a fixed rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-year and 2-year annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices?
a. USD -14 million
b. USD -4 million
c. USD 4 million
d. USD 14 million