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　　9.    A bank had entered into a 3-year interest rate swap for a notional amount of USD 300 million, paying a fixed rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-year and 2-year annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices?
　　A.    USD -14 million
　　B.    USD -4 million
　　C.    USD 4 million
　　D.    USD 14 million
　　这道题用折现的思想怎么做？
　　答案：C
　　答疑：这道题由于采用的是连续复利，所以在FRA定价中将7%和8%作为利率水平会产生误差，建议还是采用债券法的方法来进行计算，如果是一般复利，两种方法算出来应该是一样的。具体做法如下：