A Payer Swaption Is Expiring

Multiple Choice

A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year) and 0.8651 (two years) .The strike rate is 7 percent.What is the value of the swaption per $1 notional principal.

A) 0.0000,since it is out-of-the-money
B) 1.0000
C) 0.0753
D) 0.0095
E) none of the above