If interest rates increase and the fixed rate on swaps in six months (projected at 7.2%) exceeds the swaption fixed rate, the firm will exercise the swaption and pay 7.0%. They receive LIBOR from the swap in the swaption and pay in total 7.0% + 2.0% = 9% in the swap and the loan. The firm’s first quarterly payment in net will be 9% × $30,000,000 × 90/360 = $675,000.

Note that if swap fixed rates are less than 7.0% in six months, the firm would not exercise the swaption. The firm could either a) enter a swap at that time and pay the lower fixed rate or b) not enter a swap and just pay the floating rate in the loan