关于handbook上一道题的求助

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handbook207 example8.7
Bank one enters into a five-year swap contract with Mervin Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time Mervin Co.declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period, what is the market value of the loss incurred by Bank one as a result of the default?
a.$1.927milllon
b.$2.245million
c.$2.624million
d.$3.011million

答案是c.用的思路是netting loss.但是Mervin Co破产了，它就不会履行它的浮动支付了。那Bank one的损失不是就是gross fixed pay么？答案中没有。

延伸问一下：如果一方default了，swap中的另一方还要继续履行约定么？

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关键词：handbook Book Hand Bankruptcy Obligation 求助 handbook

default了，swap另一方不再履行约定。

swap刚建立时的价格对双方是公允的，也就是说建立是swap的初始价格为0。但是随着利率变化，双方在未来的现金流会不平衡。

after two years,
supposing the yield curve is flat, then the fixed payer expects to get the difference of cash flow as
(c-y)/(1+y)+(c-y)/(1+y)^2+(c-y)/(1+y)^3.

the loss occurring in the question means the expected loss V, because the fixed payer could have established a contract with a third party, which would not default after two years. as a result, the fixed payer would get the expected V and thus would not suffer the loss.

不知道有没有说清楚。