An Interest Rate Swap Has Three Years of Remaining Life

Multiple Choice

An interest rate swap has three years of remaining life.Payments are exchanged annually.Interest at 3% is paid and 12-month LIBOR is received.A exchange of payments has just taken place.The one-year,two-year and three-year LIBOR/swap zero rates are 2%,3% and 4%.All rates an annually compounded.What is the value of the swap as a percentage of the principal when OIS and LIBOR rates are the same

A) 0.00
B) 2.66
C) 2.06
D) 1.06