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You receive fixed at $4\%$ on a five-year $\$100$ million swap, struck at market. Swap rates fall to $3\%$ . Roughly what is the swap worth to you, in millions, to two decimal places?

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Swaps, FRAs and interest parity

Reported in interviews at

Citadel, Jump Trading, DRW

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You receive fixed at 4% on a five-year $100 million swap, struck at market. · QuantMax

You receive fixed at 4%4\%4% on a five-year $100\$100$100 million swap, struck at market. Swap rates fall to 3%3\%3%. Roughly what is the swap worth to you, in millions, to two decimal places?

More time value, rates and linear products questions

You receive fixed at $4\%$ on a five-year $\$100$ million swap, struck at market. Swap rates fall to $3\%$ . Roughly what is the swap worth to you, in millions, to two decimal places?