The 4%-Strike Six-Month Libor-Based Two-Year Cap and Floor Are Trading $- \$ 0.25$

Multiple Choice

The 4%-strike six-month Libor-based two-year cap and floor are trading at $2.30 and $2.55,respectively.Assume that the cap has 4 caplets maturing in 6 months,1 year,18 months,and 24 months,respectively,and that the floor similarly has 4 floorlets.What is the NPV at inception of a two-year swap in which you are paying Libor versus receiving 4%?

A) $- \$ 0.25$
B) $0
C) $0.25
D) There is not enough information to determine the price of the swap.