At expiration, the fixed rate is 3.763% which is below the exercise rate of 3.8%. The purchaser of the receiver swaption will exercise the option which allows them to receive a fixed rate of 3.8% from the writer of the option and pay the current rate of 3.763%.
The equivalent of two payments of (0.038 - 0.03763) × (180/360) × (10,000,000) will be made to the receiver swaption. One payment would have been received in 6 months and will be discounted back to the present at the 6-month rate. One payment would have been received in 12 months and will be discounted back to the present at the 12-month rate
The first payment, discounted to the present is (0.038 - 0.03763) × (180/360) × (10,000,000) × ( 1/1.018) = $1,817.28.
The second payment, discounted to the present is (0.038 - 0.03763) × (180/360) × (10,000,000) × ( 1/1.038) = $1,782.27
The total payoff for the writer is -$3,599.55.
